Estimating structural VARMA models with uncorrelated but non-independent error terms
Year of publication: |
2009
|
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Authors: | Boubacar Mainassara, Yacouba ; Francq, Christian |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Echelon form | Lagrange Multiplier test | Likelihood Ratio test | Nonlinear processes | QMLE | Structural representation | VARMA models | Wald test |
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