This paper addresses the issue of obtaining maximum likelihood estimates of parameters for structural VAR models with a mixture of distributions. Hence the problem does not have a closed form solution, numerical optimization procedures need to be used. A Monte Carlo experiment is designed to...

This thesis addresses the problem of how to identify and model sources of common fluctuations of economic variables. It is an interesting question not only for researchers but also for policy makers and other authorities. The literature presents two approaches. The first one is based on an...