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Subgeometrically ergodic autoregressions with autoregressive conditional heteroskedasticity

Meitz, Mika; Saikkonen, Pentti - 2025

Persistent link: https://www.econbiz.de/10015374598

Noncausal autoregressions for economic time series

Lanne, Markku; Saikkonen, Pentti - In: Journal of time series econometrics 3 (2011) 3, pp. 1-30

Persistent link: https://www.econbiz.de/10009623566

Subgeometrically ergodic autoregressions

Meitz, Mika; Saikkonen, Pentti - In: Econometric theory 38 (2022) 5, pp. 959-985

Persistent link: https://www.econbiz.de/10013469687

Testing identification via heteroskedasticity in structural vector autoregressive models

Lütkepohl, Helmut; Meitz, Mika; Nets̆unajev, Aleksei; … - 2018

Tests for identification through heteroskedasticity in structural vector autoregressive analysis are developed for models with two volatility states where the time point of volatility change is known. The tests are Wald type tests for which only the unrestricted model including the covariance...

Persistent link: https://www.econbiz.de/10011916918