Noncausal vector autoregressive process: representation, identification and semi-parametric estimation
Christian Gourieroux, Joann Jasiak
| Year of publication: |
September 2017
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|---|---|
| Authors: | Gouriéroux, Christian ; Jasiak, Joann |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 200.2017, 1, p. 118-134
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| Subject: | Multivariate noncausal process | Identification | Representation | Semi-parametric estimation | Generalized covariance estimator | Speculative bubble, Alternative investment | Alternative investment | Schätztheorie | Estimation theory | Nichtparametrisches Verfahren | Nonparametric statistics | VAR-Modell | VAR model | Schätzung | Estimation | Spekulationsblase | Bubbles | Korrelation | Correlation | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2017.01.011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011897706