Identification and estimation in non-fundamental structural VARMA models
Year of publication: |
2020
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Authors: | Gouriéroux, Christian ; Monfort, Alain ; Renne, Jean-Paul |
Published in: |
The review of economic studies : RES. - Oxford : Oxford Univ. Pr., ISSN 1467-937X, ZDB-ID 2009656-2. - Vol. 87.2020, 4, p. 1915-1953
|
Subject: | Structural VARMA | Fundamental Representation | Identification | Structural Shocks | Impulse Response Function | VAR-Modell | VAR model | Schock | Shock | Schätztheorie | Estimation theory | ARMA-Modell | ARMA model | Schätzung | Estimation | Nichtparametrisches Verfahren | Nonparametric statistics | Zeitreihenanalyse | Time series analysis |
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