Business cycle analysis and VARMA models
From MaRDI portal
Publication:2271626
DOI10.1016/j.jedc.2008.05.006zbMath1173.62064MaRDI QIDQ2271626
Karel Mertens, Christian Kascha
Publication date: 7 August 2009
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/1814/6450
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
65C05: Monte Carlo methods
91B84: Economic time series analysis
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Forecasting linear dynamical systems using subspace methods, Are spectral estimators useful for long-run restrictions in SVARs?, On weak identification in structural VARMA models
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