Identification of seasonal effects in impulse responses using score-driven multivariate location models
Year of publication: |
2021
|
---|---|
Authors: | Blazsek, Szabolcs ; Escribano, Álvaro ; Licht, Adrian |
Published in: |
Journal of econometric methods. - Berlin : de Gruyter, ISSN 2156-6674, ZDB-ID 2684112-5. - Vol. 10.2021, 1, p. 53-66
|
Subject: | macroeconomic time series data | score-driven time series models | quasi-vector autoregressive(QVAR) model | stochastic seasonality | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Saisonale Schwankungen | Seasonal variations | VAR-Modell | VAR model | Saisonkomponente | Seasonal component | Stochastischer Prozess | Stochastic process |
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