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Effects of idiosyncratic shocks on macroeconomic time series
Yang, Minxian - In: Empirical economics : a journal of the Institute for … 53 (2017) 4, pp. 1441-1461
Persistent link: https://www.econbiz.de/10012019377
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Lag length and mean break in stationery VAR models
Yang, Minxian - In: The econometrics journal 5 (2002) 2, pp. 374-386
Persistent link: https://www.econbiz.de/10001713304
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Some properties of vector autoregressive processes with Markov-switching coefficients
Yang, Minxian - In: Econometric theory 16 (2000) 1, pp. 23-43
Persistent link: https://www.econbiz.de/10001568488
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On cointegration test for VAR models with drift
Yang, Minxian; Bewley, Ronald A. - 1995
Persistent link: https://www.econbiz.de/10000917803
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Some properties of vector autoregressive processes with Markov-switching coefficients
Yang, Minxian - 1997
Persistent link: https://www.econbiz.de/10000638459
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On identifying structural VAR models via ARCH effects
Milunovich, George; Yang, Minxian - In: Journal of time series econometrics 5 (2013) 2, pp. 117-131
Persistent link: https://www.econbiz.de/10010225458
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On Identifying Structural VAR Models via ARCH Effects
Milunovich, George; Yang, Minxian - 2010
In the framework of structural VAR models with ARCH effect, we show that a sufficient condition for the local identification of a structural model is that at most one structural shock is homoskedastic. Our approach is based on a result of Rothenberg (1971)
Persistent link: https://www.econbiz.de/10014192245