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  • Search: subject:"Fundamental Representation"
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Year of publication
Subject
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Fundamental Representation 3 Impulse Response Function 3 Shock 3 ARMA model 2 ARMA-Modell 2 Estimation theory 2 Identification 2 Schock 2 Schätztheorie 2 Structural VARMA 2 Time series analysis 2 VAR model 2 VAR-Modell 2 Zeitreihenanalyse 2 Composite Likelihood 1 Economic Scenario Generators 1 Incomplete Likelihood 1 Incomplete Maximum Likelihood 1 Noncausal Process 1 Pseudo-Maximum Likelihood 1 Shocks 1 Structural Shocks 1 Structural VAR 1
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Online availability
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Free 1 Undetermined 1
Type of publication
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Book / Working Paper 2 Article 1
Type of publication (narrower categories)
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Arbeitspapier 1 Article in journal 1 Aufsatz in Zeitschrift 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 2 Undetermined 1
Author
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Gouriéroux, Christian 3 Monfort, Alain 3 Renne, Jean-Paul 2
Institution
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Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES) 1
Published in...
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Série des documents de travail 1 The review of economic studies : RES 1 Working Papers / Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES) 1
Source
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ECONIS (ZBW) 2 RePEc 1
Showing 1 - 3 of 3
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Identification and estimation in non-fundamental structural VARMA models
Gouriéroux, Christian; Monfort, Alain; Renne, Jean-Paul - 2017
Persistent link: https://www.econbiz.de/10012197831
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Identification and estimation in non-fundamental structural VARMA models
Gouriéroux, Christian; Monfort, Alain; Renne, Jean-Paul - In: The review of economic studies : RES 87 (2020) 4, pp. 1915-1953
Persistent link: https://www.econbiz.de/10012259682
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Revisiting Identification and estimation in Structural VARMA Models
Gouriéroux, Christian; Monfort, Alain - Centre de Recherche en Économie et Statistique … - 2014
polynomials are invertible (the fundamental representation). Moreover the standard Box-Jenkins approach automatically estimates … the fundamental representation and, therefore, may lead to misspecified Impulse Response Functions. The aim of this paper …
Persistent link: https://www.econbiz.de/10011097428
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