Structural Vector Autoregressions With Nonnormal Residuals

DOI10.1198/JBES.2009.06003MaRDI QIDQ3160939zbMATH OpenOpenAlexWikidataFDO

Authors Markku Lanne, Helmut Lütkepohl

Publication date 11 October 2010

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/1814/3933

zbMATH Keywords

cointegrationimpulse responsesmixed normal distributionvector autoregressive processvector error correction model

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(24)

• Business cycle analysis without much theory: A look at structural VARs
• Bayesian nonparametric vector autoregressive models
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• Price discovery in the markets for credit risk: a Markov switching approach
• Structural analysis with multivariate autoregressive index models
• Least tail-trimmed squares for infinite variance autoregressions
• Estimation of a structural vector autoregression model using non-Gaussianity
• Identifying structural vector autoregressions via changes in volatility
• Change Point Detection with Multivariate Observations Based on Characteristic Functions
• Structural vector autoregressions with Markov switching: combining conventional with statistical identification of shocks
• Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions
• Locally robust inference for non-Gaussian linear simultaneous equations models
• Identification and Estimation of Structural VARMA Models Using Higher Order Dynamics
• Non-linear dimension reduction in factor-augmented vector autoregressions
• Locally robust inference for non-Gaussian SVAR models
• Identification of vector autoregressive models with nonlinear contemporaneous structure
• Simultaneous Equation Systems With Heteroscedasticity: Identification, Estimation, and Stock Price Elasticities
• A Statistically Identified Structural Vector Autoregression with Endogenously Switching Volatility Regime
• Time-varying shock transmission in non-Gaussian structural vector autoregressions
• Structural vector autoregressions with smooth transition in variances
• Identification and estimation of non-Gaussian structural vector autoregressions
• Structural vector autoregressions with Markov switching

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