Noncausal vector autoregressive process: representation, identification and semi-parametric estimation
Year of publication: |
September 2017
|
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Authors: | Gouriéroux, Christian ; Jasiak, Joann |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 200.2017, 1, p. 118-134
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Subject: | Multivariate noncausal process | Identification | Representation | Semi-parametric estimation | Generalized covariance estimator | Speculative bubble, Alternative investment | Alternative investment | Schätztheorie | Estimation theory | Nichtparametrisches Verfahren | Nonparametric statistics | Schätzung | Estimation | Spekulationsblase | Bubbles | VAR-Modell | VAR model |
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