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Vector autoregression and causality
Toda, Hiro Y., (1991)
Sparse Graphical Vector Autoregression : A Bayesian Approach
Ahelegbey, Daniel Felix, (2019)
Structural vector autoregressions : theory of identification and algorithms for inference
Rubio-Ramírez, Juan Francisco, (2008)
Perturbation methods for Markov-switching DSGE models
Foerster, Andrew, (2013)