Are Spectral Estimators Useful for Implementing Long-Run Restrictions in SVARs?
Year of publication: |
2008
|
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Authors: | Mertens, Elmar |
Publisher: |
Gerzensee : Swiss National Bank, Study Center Gerzensee |
Subject: | VAR-Modell | Nichtparametrisches Verfahren | Zeitreihenanalyse | Simulation | Theorie | Structural VAR | Long-Run Identification | Non-parametric Estimation | Factorization of Spectral Density |
Series: | Working Paper ; 08.01 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 609940694 [GVK] hdl:10419/128052 [Handle] RePEc:szg:worpap:0801 [RePEc] |
Classification: | C32 - Time-Series Models ; E17 - Forecasting and Simulation |
Source: |
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Are spectral estimators useful for implementing long-run restrictions in SVARs?
Mertens, Elmar, (2008)
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Are spectral estimators useful for long-run restrictions in SVARs?
Mertens, Elmar, (2012)
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