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Model-based asymptotic inference on the effect of infrequent large shocks on cointegrated variables
Georgiev, Iliyan - In: Journal of econometrics 158 (2010) 1, pp. 37-50
Persistent link: https://www.econbiz.de/10008826877
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Tests for overidentifying restrictions in Factor-Augmented VAR models
Han, Xu - In: Journal of econometrics 184 (2015) 2, pp. 394-419
Persistent link: https://www.econbiz.de/10011339283
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Structural vector autoregressions with Markov switching : combining conventional with statistical identification of shocks
Herwartz, Helmut; Lütkepohl, Helmut - In: Journal of econometrics 183 (2014) 1, pp. 104-116
Persistent link: https://www.econbiz.de/10010506080
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Strong rules for detecting the number of breaks in a time series
Altissimo, Filippo; Corradi, Valentina - In: Journal of econometrics 117 (2003) 2, pp. 207-244
Persistent link: https://www.econbiz.de/10001799064
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Cointegration and speed of convergence to equilibrium
Pesaran, M. Hashem - In: Journal of econometrics 71 (1996) 1, pp. 117-143
Persistent link: https://www.econbiz.de/10001194740
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Parameter uncertainty and impulse response analysis
Koop, Gary - In: Journal of econometrics 72 (1996) 1, pp. 135-149
Persistent link: https://www.econbiz.de/10001198021
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Inference on impulse response functions in structural VAR models
Inoue, Atsushi; Kilian, Lutz - In: Journal of econometrics 177 (2013) 1, pp. 1-13
Persistent link: https://www.econbiz.de/10010189887
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Statistical inference for independent component analysis : application to structural VAR models
Gouriéroux, Christian; Monfort, Alain; Renne, Jean-Paul - In: Journal of econometrics 196 (2017) 1, pp. 111-126
Persistent link: https://www.econbiz.de/10011743785
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Monetary, fiscal and oil shocks : evidence based on mixed frequency structural FAVARs
Marcellino, Massimiliano; Sivec, Vasja - In: Journal of econometrics 193 (2016) 2, pp. 335-348
Persistent link: https://www.econbiz.de/10011704953
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Structural VAR models in the frequency domain
Guay, Alain; Pelgrin, Florian - In: Journal of econometrics 236 (2023) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10014332268