Data-driven identification in SVARs : when and how can statistical characteristics be used to unravel causal relationships?
Helmut Herwartz, Alexander Lange, Simone Maxand
| Year of publication: |
2022
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|---|---|
| Authors: | Herwartz, Helmut ; Lange, Alexander ; Maxand, Simone |
| Published in: |
Economic inquiry. - Hoboken, NJ : Wiley-Blackwell, ISSN 1465-7295, ZDB-ID 2016121-9. - Vol. 60.2022, 2, p. 668-693
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| Subject: | heteroskedasticity | independent components | model selection | non-Gaussianity | structural shocks | Schock | Shock | VAR-Modell | VAR model | Kausalanalyse | Causality analysis | Zeitreihenanalyse | Time series analysis | Heteroskedastizität | Heteroscedasticity |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/ecin.13035 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013168173