Identification of seasonal effects in impulse responses using score-driven multivariate location models
Szabolcs Blazsek, Alvaro Escribano and Adrian Licht
| Year of publication: |
2021
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|---|---|
| Authors: | Blazsek, Szabolcs ; Escribano, Álvaro ; Licht, Adrian |
| Published in: |
Journal of econometric methods. - Berlin : de Gruyter, ISSN 2156-6674, ZDB-ID 2684112-5. - Vol. 10.2021, 1, p. 53-66
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| Subject: | macroeconomic time series data | score-driven time series models | quasi-vector autoregressive(QVAR) model | stochastic seasonality | Zeitreihenanalyse | Time series analysis | VAR-Modell | VAR model | Saisonale Schwankungen | Seasonal variations | Saisonkomponente | Seasonal component | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/jem-2020-0003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012437812