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  • Search: subject:"Factorization of Spectral Density"
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Year of publication
Subject
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Factorization of Spectral Density 2 Long-Run Identification 2 Nichtparametrisches Verfahren 2 Non-parametric Estimation 2 Simulation 2 Structural VAR 2 Theorie 2 VAR-Modell 2 Zeitreihenanalyse 2 Nonparametric statistics 1 Theory 1 Time series analysis 1 VAR model 1
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Online availability
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Free 2
Type of publication
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Book / Working Paper 2
Type of publication (narrower categories)
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Working Paper 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1
Language
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English 2
Author
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Mertens, Elmar 2
Published in...
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Working Paper 1 Working papers / Studienzentrum Gerzensee 1
Source
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ECONIS (ZBW) 1 EconStor 1
Showing 1 - 2 of 2
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Are Spectral Estimators Useful for Implementing Long-Run Restrictions in SVARs?
Mertens, Elmar - 2008
No, not really. Responding to lingering concerns about the reliability of SVARs, Christiano et al (NBER Macro Annual, 2006, "CEV") propose to combine OLS estimates of a VAR with a spectral estimate of long-run variance. In principle, this could help alleviate specification problems of SVARs in...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011430075
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Cover Image
Are spectral estimators useful for implementing long-run restrictions in SVARs?
Mertens, Elmar - 2008
-Run Identiflcation, Non-parametric Estimation, Factorization of Spectral Density 1 Introduction VARs have been criticized for failures …
Persistent link: https://ebvufind01.dmz1.zbw.eu/10003882300
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