Identification of structural Vector Autoregressions through higher unconditional moments
Year of publication: |
2021
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Authors: | Guay, Alain |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 225.2021, 1, p. 27-46
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Subject: | Bootstrap procedure | Excess kurtosis | Identification condition | Rank test | Skewness | Structural vector autoregression | Theorie | Theory | VAR-Modell | VAR model | Bootstrap-Verfahren | Bootstrap approach | Statistische Verteilung | Statistical distribution |
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