Identification and Estimation in Non-Fundamental Structural VARMA Models

DOI10.1093/restud/rdz028OpenAlexW2779817446WikidataQ127906643 ScholiaQ127906643MaRDI QIDQ5049125

Jean-Paul Renne, Christian Gouriéroux, Alain Monfort

Publication date: 11 November 2022

Published in: The Review of Economic Studies (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/restud/rdz028

zbMATH Keywords

identificationfundamental representationimpulse response functionstructural shocksstructural VARMA

Mathematics Subject Classification ID

Statistics (62-XX)

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