Heteroskedastic proxy vector autoregressions : an identification-robust test for time-varying impulse responses in the presence of multiple proxies
Martin Bruns, Helmut Lütkepohl
| Year of publication: |
2024
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|---|---|
| Authors: | Bruns, Martin ; Lütkepohl, Helmut |
| Published in: |
Journal of economic dynamics & control. - Amsterdam : North-Holland Publ. Co., ISSN 0165-1889, ZDB-ID 1460621-5. - Vol. 161.2024, Art.-No. 104837, p. 1-15
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| Subject: | Heteroskedasticity | Productivity shocks | Proxy VAR | Structural change | Structural vector autoregression | VAR-Modell | VAR model | Zeitreihenanalyse | Time series analysis | Schock | Shock | Schätztheorie | Estimation theory | Strukturwandel | Heteroskedastizität | Heteroscedasticity | Schätzung | Estimation |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jedc.2024.104837 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015050043