On weak identification in structural VARMA models
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Publication:1673503
DOI10.1016/J.ECONLET.2017.03.035zbMATH Open1396.91421OpenAlexW2605220265MaRDI QIDQ1673503FDOQ1673503
Authors: Wenying Yao, Timothy Kam, Farshid Vahid 
Publication date: 12 September 2018
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2017.03.035
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Dynamic stochastic general equilibrium theory (91B51)
Cites Work
- Business cycle analysis without much theory: A look at structural VARs
- A complete VARMA modelling methodology based on scalar components
- Two canonical VARMA forms: scalar component models vis-à-vis the echelon form
- Business cycle analysis and VARMA models
- Econometric analysis of structural systems with permanent and transitory shocks
Cited In (5)
- Identifiability and estimation of possibly non-invertible SVARMA models: the normalised canonical WHF parametrisation
- VARMA representation of DSGE models
- Identification of structural VAR models via independent component analysis: a performance evaluation study
- GMM with Weak Identification
- Business cycle analysis and VARMA models
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