Likelihood preserving normalization in multiple equation models

DOI10.1016/S0304-4076(03)00087-3MaRDI QIDQ1810671zbMATH OpenOpenAlexFDO

Authors Daniel F. Waggoner, Tao Zha

Publication date 9 June 2003

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0304-4076(03)00087-3

zbMATH Keywords

likelihood shapesnormalizationzero-density hyperplanes

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• A Gibbs sampler for structural vector autoregressions
• Block recursion and structural vector autoregressions
• scientific article; zbMATH DE number 1099382 (Why is no real title available?)
• scientific article; zbMATH DE number 3390199 (Why is no real title available?)
• Normalization in Econometrics

Cited in

(8)

• A topological view on the identification of structural vector autoregressions
• Realized stochastic volatility with general asymmetry and long memory
• Striated Metropolis-Hastings sampler for high-dimensional models
• Methods for inference in large multiple-equation Markov-switching models
• On the Normalization of Structural Equations: Properties of Direction Estimators
• Relationships among prices of rubber in ASEAN: Bayesian structural VAR model
• Normalization in Econometrics
• A Gibbs sampler for structural vector autoregressions

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