Identification and estimation of non-Gaussian structural vector autoregressions

DOI10.1016/j.jeconom.2016.06.002zbMath1403.62165OpenAlexW2532998675WikidataQ61626408 ScholiaQ61626408MaRDI QIDQ77374

Markku Lanne, Mika Meitz, Pentti Saikkonen, Markku Lanne, Mika Meitz, Pentti Saikkonen

Publication date: February 2017

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.06.002

zbMATH Keywords

identificationnon-Gaussianityimpulse responsesstructural vector autoregressive model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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