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Identification
of Structural Vector Autoregressions by Stochastic Volatility
Bertsche, Dominik
-
2020
We propose to exploit stochastic volatility for statistical
identification
of structural vector autoregressive models … (SV-SVAR). We discuss full and partial
identification
of the model and develop efficient Expectation Maximization …
Persistent link: https://www.econbiz.de/10012831147
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