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Testing for Identification in SVAR-GARCH Models : Reconsidering the Impact of Monetary Shocks on Exchange Rates

Lütkepohl, Helmut - 2015

Changes in residual volatility in vector autoregressive (VAR) models can be used for identifying structural shocks in a structural VAR analysis. Testable conditions are given for full identification for the case where the volatility changes can be modeled by a multivariate GARCH process. Formal...

Persistent link: https://www.econbiz.de/10013026616

On identifying permanent and transistory shocks in VAR models

Yang, Minxian - 1995

Persistent link: https://www.econbiz.de/10000908720

Economic growth and risk in R & D

Yang, Minxian - 1995

Persistent link: https://www.econbiz.de/10000912124

Some properties of vector autoregressive processes with Markov-switching coefficients

Yang, Minxian - 1997

Persistent link: https://www.econbiz.de/10000970017

On identifying permanent and transitory shocks in VAR models

Yang, Minxian - In: Economics letters 58 (1998) 2, pp. 171-175

Persistent link: https://www.econbiz.de/10001235587

System estimators of cointegrating matrix in absence of normalising information

Yang, Minxian - In: Journal of econometrics 85 (1998) 2, pp. 317-337

Persistent link: https://www.econbiz.de/10001240188

Some properties of vector autoregressive processes with Markov-switching coefficients

Yang, Minxian - In: Econometric theory 16 (2000) 1, pp. 23-43

Persistent link: https://www.econbiz.de/10001568488

Closed-form likelihood function of Markov-switching models

Yang, Minxian - In: Economics letters 70 (2001) 3, pp. 319-326

Persistent link: https://www.econbiz.de/10001549898

Canonical correlation analysis of cointegrated processes

Yang, Minxian - 1994

Persistent link: https://www.econbiz.de/10000888618

Economic growth and risk in R and D

Yang, Minxian - 1995

Persistent link: https://www.econbiz.de/10000151393

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