Identification of vector autoregressive models with nonlinear contemporaneous structure
Year of publication: |
2024
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Authors: | Cordoni, Francesco ; Dorémus, Nicolas ; Moneta, Alessio |
Published in: |
Journal of economic dynamics & control. - Amsterdam : North-Holland Publ. Co., ISSN 0165-1889, ZDB-ID 1460621-5. - Vol. 162.2024, Art.-No. 104852, p. 1-24
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Subject: | Additive noise models | Causal discovery | Impulse response functions | Nonlinearity | Structural VAR models | VAR-Modell | VAR model | Nichtlineare Regression | Nonlinear regression | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Makroökonometrie | Macroeconometrics | Schock | Shock | Schätzung | Estimation |
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