Temporal aggregation in structural VAR models

DOI10.1002/(SICI)1099-0747(199803)14:1%3C19::AID-ASM304%3E3.0.CO;2-HMaRDI QIDQ4231207zbMATH OpenOpenAlexFDO

Authors Dimitis A. Georgoutsos, Georgios P. Kouretas, Dikaios E. Tserkezos

Publication date 14 March 1999

Full work available at URL https://doi.org/10.1002/(sici)1099-0747(199803)14:1%3C19::aid-asm304%3E3.0.co;2-h

zbMATH Keywords

full information maximum likelihoodidentificationimpulse response functionsMonte Carlo techniquestructural VARtemporal aggregation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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