Structural information in recursive VAR orderings

DOI10.1016/0165-1889(96)00914-1zbMATH Open0875.62610OpenAlexW2030574208MaRDI QIDQ671539FDOQ671539

Authors: John W. Keating 

Publication date: 27 February 1997

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

Full work available at URL: https://doi.org/10.1016/0165-1889(96)00914-1

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zbMATH Keywords

Cholesky decompositionMoving average representationVector autoregressionWold causal chain

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Cites Work

• Title not available (Why is that?)

Cited In (3)

• Durable goods and the forward-looking theory of consumption: estimates implied by the dynamic effects of money
• Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks
• STRUCTURAL INFERENCE WITH LONG-RUN RECURSIVE EMPIRICAL MODELS

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