Similar Search Results - EconBiz

Dynamic analyses using VAR model with mixed frequency data through observable representation

Kim, Yun-Yeong - In: The Korean economic review 32 (2016) 1, pp. 41-75

Persistent link: https://www.econbiz.de/10011649329

Estimating stock pledge rate using VaR and modified ES model

Tao, Kangsheng; Liu, Bin; Wang, Can - In: Applied economics letters 31 (2024) 2, pp. 139-145

Persistent link: https://www.econbiz.de/10014448275

Identification based on higher moments

Lewis, Daniel J. - 2024

Identification based on higher moments has drawn increasing theoretical attention and been widely adopted in empirical practice in macroeconometrics in the last two decades. This article reviews two parallel strands of the literature: identification strategies based on heteroskedasticity and...

Persistent link: https://www.econbiz.de/10014480567

Estimation and inference in short panel vector autoregressions with unit roots and cointegration

Binder, Michael; Hsiao, Cheng - 2000

Persistent link: https://www.econbiz.de/10001518701

A structural cointegrating VAR approach to macroeconometric modelling

Garratt, Anthony (contributor) - In: Econometric modelling : techniques and applications, (pp. 94-131). 2000

Persistent link: https://www.econbiz.de/10001519514

Estimation and inference in short panel vector autoregressions with unit roots and cointegration

Binder, Michael; Hsiao, Cheng; Pesaran, M. Hashem - 2000

Persistent link: https://www.econbiz.de/10001500096

Robust covariance matrix estimation with data-dependent VAR prewhitening order

Den Haan, Wouter J.; Levin, Andrew T. - 2000

Persistent link: https://www.econbiz.de/10001500668

Maximum likelihood estimation for the VAR-VARCH model : a new approach

Liu, Shuangzhe; Polasek, Wolfgang - 1999

Persistent link: https://www.econbiz.de/10001433663

Error bands for impulse responses

Sims, Christopher A.; Zha, Tao - In: Econometrica : journal of the Econometric Society, an … 67 (1999) 5, pp. 1113-1155

Persistent link: https://www.econbiz.de/10001405860

Estimation of a multivariate cointegrated time series model with conditionally heteroskedastic disturbances

Carstensen, Kai - 1999 - (Rev. version)

Persistent link: https://www.econbiz.de/10001465498

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