Structural vector autoregressive analysis for cointegrated variables
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Cites work
- scientific article; zbMATH DE number 4062374 (Why is no real title available?)
- scientific article; zbMATH DE number 1122623 (Why is no real title available?)
- scientific article; zbMATH DE number 2199188 (Why is no real title available?)
- A REVIEW OF SYSTEMS COINTEGRATION TESTS
- A systematic framework for analyzing the dynamic effects of permanent and transitory shocks.
- Applied Time Series Econometrics
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Comparison of bootstrap confidence intervals for impulse responses of German monetary systems
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- ON THE ASYMPTOTIC DISTRIBUTION OF IMPULSE RESPONSE FUNCTIONS WITH LONG-RUN RESTRICTIONS
- Problems related to confidence intervals for impulse responses of autoregressive processes
- Spurious regressions in econometrics
- Statistical analysis of cointegration vectors
- Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes
- Weak exogeneity and long-run and contemporaneous identifying restrictions in VEC models
Cited in
(13)- Structural vector autoregressive analysis
- Codependent VAR models and the pseudo-structural form
- Time-varying cointegration, identification, and cointegration spaces
- Autoregressive distributed lag models and cointegration
- Structural Vector Autoregressions With Nonnormal Residuals
- Analyzing time–frequency relationship between oil price and exchange rate in Pakistan through wavelets
- Problems related to over-identifying restrictions for structural vector error correction models
- An introductory review of a structural VAR-X estimation and applications
- Structural analysis of vector error correction models with exogenous \(I(1)\) variables
- Estimating overidentified, nonrecursive, time-varying coefficients structural vector autoregressions
- Path and directionality discovery in individual dynamic models: a regularized unified structural equation modeling approach for hybrid vector autoregression
- The cointegrated VAR model: Methodology and applications.
- Analysis of integrated and co-integrated time series with R
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