Structural information in recursive VAR orderings

DOI10.1016/0165-1889(96)00914-1MaRDI QIDQ671539zbMATH OpenOpenAlexFDO

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

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)

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(3)

• Durable goods and the forward-looking theory of consumption: estimates implied by the dynamic effects of money
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• STRUCTURAL INFERENCE WITH LONG-RUN RECURSIVE EMPIRICAL MODELS

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