Structural VAR models in the frequency domain

DOI10.1016/j.jeconom.2023.04.009OpenAlexW4381060086MaRDI QIDQ6175543

Alain Guay, Florian Pelgrin

Publication date: 18 August 2023

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2023.04.009

zbMATH Keywords

frequency domainSVARsasymptotic least squarescontinuum of identifying restrictions

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

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