Identification of vector autoregressive models with nonlinear contemporaneous structure

DOI10.1016/J.JEDC.2024.104852MaRDI QIDQ6572632zbMATH OpenFDO

Authors Francesco Cordoni, Nicolas Dorémus, Alessio Moneta

Publication date 16 July 2024

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

zbMATH Keywords

causal discoverynonlinearityimpulse response functionsstructural VAR modelsadditive noise models

Mathematics Subject Classification ID

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

Cites work

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