Testing for identification in SVAR-GARCH models
Year of publication: |
2015
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Authors: | Luetkepohl, Helmut ; Milunovich, George |
Publisher: |
Berlin : Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |
Subject: | structural vector autoregression | conditional heteroskedasticity | GARCH | identification via heteroskedasticity |
Series: | SFB 649 Discussion Paper ; 2015-030 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 831849479 [GVK] hdl:10419/122011 [Handle] |
Classification: | C32 - Time-Series Models |
Source: |
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Lütkepohl, Helmut, (2015)
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Lütkepohl, Helmut, (2017)
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Bootstrapping Impulse Responses of Structural Vector Autoregressive Models Identified through GARCH
Lütkepohl, Helmut, (2019)
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Lütkepohl, Helmut, (2015)
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Testing for identification in SVAR-GARCH models
Lütkepohl, Helmut, (2015)
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Inference in Partially Identified Heteroskedastic Simultaneous Equations Models
Luetkepohl, Helmut, (2017)
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