A Statistically Identified Structural Vector Autoregression with Endogenously Switching Volatility Regime

DOI10.1080/07350015.2024.2322090MaRDI QIDQ7023599zbMATH OpenFDO

Authors Savi Virolainen

Publication date 21 February 2025

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1080/07350015.2024.2322090

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• A Gaussian Mixture Autoregressive Model for Univariate Time Series
• A mixture autoregressive model based on Gaussian and Student's t-distributions
• A mixture autoregressive model based on Student’s t–distribution
• Gaussian mixture vector autoregression
• scientific article; zbMATH DE number 3886886 (Why is no real title available?)
• scientific article; zbMATH DE number 2199188 (Why is no real title available?)
• Identification and estimation of non-Gaussian structural vector autoregressions
• Identifying shocks via time-varying volatility
• Structural vector autoregressions with Markov switching
• Structural vector autoregressions with Markov switching: combining conventional with statistical identification of shocks
• Structural Vector Autoregressions With Nonnormal Residuals
• Structural vector autoregressions with smooth transition in variances
• Structural vector autoregressive analysis
• Testing for observation-dependent regime switching in mixture autoregressive models
• Testing identification via heteroskedasticity in structural vector autoregressive models

Cited in

(3)

• A Gaussian smooth transition vector autoregressive model: an application to the macroeconomic effects of severe weather shocks
• Identification by non-Gaussianity in structural smooth transition vector autoregressive models
• gmvarkit

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