Reducing the state space dimension in a large TVP-VAR
Joshua C. C. Chan, Eric Eisenstat, Rodney W. Strachan
| Year of publication: |
2020
|
|---|---|
| Authors: | Chan, Joshua ; Eisenstat, Eric ; Strachan, Rodney W. |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 218.2020, 1, p. 105-118
|
| Subject: | Large VAR | Reduced rank covariance matrix | Time varying parameter | Schätztheorie | Estimation theory | Zustandsraummodell | State space model | VAR-Modell | VAR model | Korrelation | Correlation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2019.11.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012482932