Generalized Two-Step Maximum Likelihood Estimation of Structural Vector Autoregressive Models partially identified with Short-Run Restrictions
Year of publication: |
2004-08-11
|
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Authors: | Jang, Kyungho |
Institutions: | Econometric Society |
Subject: | ML estimation | VAR model | Identification | Likelihood ratio test | Asymptotic distribution | Impulse response | Forecast-error variance decomposition | Monetary policy | Exchange rate |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Econometric Society Far Eastern Meetings 2004 Number 569 |
Classification: | C32 - Time-Series Models ; C51 - Model Construction and Estimation ; E32 - Business Fluctuations; Cycles |
Source: |
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