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Identification and estimation of non-Gaussian structural vector autoregressions
Lanne, Markku; Meitz, Mika; Saikkonen, Pentti - 2015
Persistent link: https://www.econbiz.de/10010514606
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Gaussian mixture vector autoregression
Kalliovirta, Leena; Meitz, Mika; Saikkonen, Pentti - 2014
Persistent link: https://www.econbiz.de/10010438222
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Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models
Lütkepohl, Helmut - 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/10012909293
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Testing for observation-dependent regime switching in mixture autoregressive models
Meitz, Mika; Saikkonen, Pentti - In: Journal of econometrics 222 (2021) 1,3, pp. 601-624
Persistent link: https://www.econbiz.de/10012619762
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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
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Testing for observation-dependent regime switching in mixture autoregressive models
Meitz, Mika; Saikkonen, Pentti - 2017
Persistent link: https://www.econbiz.de/10011751367
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Gaussian mixture vector autoregression
Kalliovirta, Leena; Meitz, Mika; Saikkonen, Pentti - In: Journal of econometrics 192 (2016) 2, pp. 485-498
Persistent link: https://www.econbiz.de/10011704732
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Testing identification via heteroskedasticity in structural vector autoregressive models
Lütkepohl, Helmut; Meitz, Mika; Netšunajev, Aleksei; … - In: The econometrics journal 24 (2021) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10012504441
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Identification and estimation of non-Gaussian structural vector autoregressions
Lanne, Markku; Meitz, Mika; Saikkonen, Pentti - In: Journal of econometrics 196 (2017) 2, pp. 288-304
Persistent link: https://www.econbiz.de/10011818296