Identification by non-Gaussianity in structural smooth transition vector autoregressive models
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Cites work
- A Gaussian smooth transition vector autoregressive model: an application to the macroeconomic effects of severe weather shocks
- A Statistically Identified Structural Vector Autoregression with Endogenously Switching Volatility Regime
- An experimental study of approximation algorithms for the joint spectral radius
- Autoregressive Conditional Density Estimation
- Dynamic Causal Effects in a Nonlinear World: the Good, the Bad, and the Ugly
- GMM Estimation of Non-Gaussian Structural Vector Autoregression
- Identification and estimation of non-Gaussian structural vector autoregressions
- Identifying shocks via time-varying volatility
- Identifying Structural Vector Autoregression via Leptokurtic Economic Shocks
- Impulse response analysis in nonlinear multivariate models
- Non-independent component analysis
- Penalized quasi-likelihood estimation and model selection with parameters on the boundary of the parameter space
- STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION
- Stationarity and ergodicity of vector STAR models
- Structural Vector Autoregressions With Nonnormal Residuals
- Structural vector autoregressions with smooth transition in variances
- Structural vector autoregressive analysis
- Testing and Modeling Multivariate Threshold Models
- Testing multiple equation systems for common nonlinear components
- Thresholds and smooth transitions in vector autoregressive models
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