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A Lagrange multiplier test for causality in variance

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Testing for causality in variance using multivariate GARCH models

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MIDAS vs. mixed-frequency VAR : nowcasting GDP in the euro area

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Estimation of dynamic discrete choice models by maximum likelihood and the simulated method of moments

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Pooling versus model selection for nowcasting GDP with many predictors : empirical evidence for six industrialized countries

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Treatment effects : a Bayesian perspective

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Empirical simultaneous prediction regions for path-forecasts

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Sign restrictions and statistical identification under volatility breaks : simulation based evidence and an empirical application to monetary policy analysis ; conference paper

Herwartz, Helmut; Plödt, Martin - 2014

Apart from a priori assumptions on instantaneous or long run effects of structural shocks, sign restrictions have become a prominent means for structural vector autoregressive (SVAR) analysis. Moreover, second order heterogeneity of systems of times series can be fruitfully exploited for...

Persistent link: https://www.econbiz.de/10010482469