On the identification of multivariate correlated unobserved components models
Carsten Trenkler, Enzo Weber
| Year of publication: |
January 2016
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|---|---|
| Authors: | Trenkler, Carsten ; Weber, Enzo |
| Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 138.2016, p. 15-18
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| Subject: | Unobserved components models | Identification | VARMA | Zeitreihenanalyse | Time series analysis | Zustandsraummodell | State space model | VAR-Modell | VAR model | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econlet.2015.11.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011615339