Likelihood ratio testing in linear state space models : an application to dynamic stochastic general equilibrium models
Year of publication: |
2020
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Authors: | Komunjer, Ivana ; Zhu, Yinchu |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 218.2020, 2, p. 561-586
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Subject: | Bartlett adjustment | Likelihood ratio test | Linear Gaussian state space models | Theorie | Theory | Stochastischer Prozess | Stochastic process | Zustandsraummodell | State space model | Zeitreihenanalyse | Time series analysis |
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