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  • Search: subject:"Orthogonal impulse response functions"
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Year of publication
Subject
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Estimation theory 3 Schätztheorie 3 Time series analysis 3 Zeitreihenanalyse 3 ARCH model 2 ARCH-Modell 2 Estimation 2 Kalman filter 2 Schätzung 2 State space model 2 VAR model 2 VAR-Modell 2 Zustandsraummodell 2 orthogonal impulse response functions 2 Cointegration 1 Dynamic factor model 1 Food consumption 1 Generalized autoregressive conditional heteroskedasticity 1 Japan 1 Kointegration 1 Lebensmittelkonsum 1 Orthogonal impulse response functions 1 Time-varying parameters 1 Vector autoregressive model 1 Volatility 1 Volatilität 1 Wein 1 Weinbau 1 Wine 1 Wine and food consumption 1 Wine industry 1 dynamic factor model 1 forecast 1 generalized autoregressive conditional heteroskedasticity 1 japan 1 time-varying parameters 1 vector autoregressive model 1 vector error correction model 1
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Online availability
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Free 2 Undetermined 1
Type of publication
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Article 2 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 3
Author
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Gorgi, Paolo 2 Koopman, Siem Jan 2 Schaumburg, Julia 2 Omura, Makiko 1
Published in...
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Applied economics 1 Discussion paper / Tinbergen Institute 1 Journal of econometrics 1
Source
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ECONIS (ZBW) 3
Showing 1 - 3 of 3
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Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors
Gorgi, Paolo; Koopman, Siem Jan; Schaumburg, Julia - In: Journal of econometrics 244 (2024) 2, pp. 1-23
Persistent link: https://www.econbiz.de/10015553737
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Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors
Gorgi, Paolo; Koopman, Siem Jan; Schaumburg, Julia - 2021
We introduce a new and general methodology for analyzing vector autoregressive models with time-varying coefficient matrices and conditionally heteroskedastic disturbances. Our proposed method is able to jointly treat a dynamic latent factor model for the autoregressive coefficient matrices and...
Persistent link: https://www.econbiz.de/10012591572
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An analysis of wine and food consumption dynamics in Japan using a vector error correction model
Omura, Makiko - In: Applied economics 48 (2016) 43/45, pp. 4257-4269
Persistent link: https://www.econbiz.de/10011640044
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