Identification of structural VAR models via independent component analysis : a performance evaluation study
Alessio Moneta, Gianluca Pallante
| Year of publication: |
2022
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|---|---|
| Authors: | Moneta, Alessio ; Pallante, Gianluca |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 144.2022, p. 1-20
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| Subject: | Generalized normal distribution | Identification | Impulse response functions | Independent Component Analysis | Non-Gaussianity | Structural VAR | VAR-Modell | VAR model | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Faktorenanalyse | Factor analysis | Statistische Verteilung | Statistical distribution | Schock | Shock |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jedc.2022.104530 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013543127