Testing identification via heteroskedasticity in structural vector autoregressive models
Year of publication: |
2021
|
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Authors: | Lütkepohl, Helmut ; Meitz, Mika ; Netšunajev, Aleksei ; Saikkonen, Pentti |
Published in: |
The econometrics journal. - Oxford : Oxford University Press, ISSN 1368-423X, ZDB-ID 1475536-1. - Vol. 24.2021, 1, p. 1-22
|
Subject: | Heteroskedasticity | structural identification | vector autoregressive process | VAR-Modell | VAR model | Heteroskedastizität | Heteroscedasticity | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory |
Description of contents: | Description [doi.org] |
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Testing identification via heteroskedasticity in structural vector autoregressive models
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Testing identification via heteroskedasticity in structural vector autoregressive models
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