Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity
Helmut Lütkepohl (Freie Universität Berlin and DIW Berlin); Anton Velinov (DIW Berlin)
| Year of publication: |
April 2016
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|---|---|
| Authors: | Lütkepohl, Helmut ; Velinov, Anton |
| Published in: |
Journal of economic surveys. - Oxford [u.a.] : Wiley-Blackwell, ISSN 0950-0804, ZDB-ID 722946-X. - Vol. 30.2016, 2, p. 377-392
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| Subject: | Conditional heteroskedasticity | heteroskedasticity | Markov switching model | vectorautoregression | vector GARCH | VAR-Modell | VAR model | Markov-Kette | Markov chain | Heteroskedastizität | Heteroscedasticity | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Volatilität | Volatility | Schätztheorie | Estimation theory | Schock | Shock |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/joes.12100 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011553496