Impact factors
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Publication:265013
Recommendations
- Impulse response and forecast error variance asymptotics in nonstationary VARs
- Impulse Response Functions Based on a Causal Approach to Residual Orthogonalization in Vector Autoregressions
- Generalized impulse response analysis in linear multivariate models
- Sensitivity analysis in continuous time econometric models
- ASYMPTOTIC INFERENCE ON THE MOVING AVERAGE IMPACT MATRIX IN COINTEGRATED I (2) VAR SYSTEMS
Cites work
- scientific article; zbMATH DE number 51202 (Why is no real title available?)
- scientific article; zbMATH DE number 724261 (Why is no real title available?)
- scientific article; zbMATH DE number 1122623 (Why is no real title available?)
- scientific article; zbMATH DE number 857931 (Why is no real title available?)
- A Stastistical Analysis of Cointegration for I(2) Variables
- ASYMPTOTIC EFFICIENCY OF THE TWO STAGE ESTIMATOR IN I (2) SYSTEMS
- ASYMPTOTIC INFERENCE ON THE MOVING AVERAGE IMPACT MATRIX IN COINTEGRATED I (2) VAR SYSTEMS
- An I(2) cointegration analysis of small‐country import price determination
- Critical values and \(p\) values of Bessel process distributions: computation and application to structural break tests
- Dynamic Econometrics
- Fast projection methods for minimal design problems in linear system theory
- Generalized impulse response analysis in linear multivariate models
- Impulse response analysis in nonlinear multivariate models
- Impulse response and forecast error variance asymptotics in nonstationary VARs
- Likelihood Analysis of the I(2) Model
- ON A PARTITIONED INVERSION FORMULA HAVING USEFUL APPLICATIONS IN ECONOMETRICS
- On the determination of integration indices in I(2) systems
- On the sensitivity of the usual \(t\)- and \(F\)-tests to covariance misspecification
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- The sensitivity of OLS when the variance matrix is (partially) unknown
- Trend stationarity in the \(I(2)\) cointegration model.
- Weak exogeneity in \(I(2)\) VAR systems
Cited in
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