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the estimation of UC models,imposing a proper identification restriction is important for the estimation of trend and …
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This paper proposes a joint methodology for the identification and inference of structural vector autoregressive models in the frequency domain. We show that identifying restrictions can be written naturally as an asymptotic least squares problem (Gourieroux, Monfort and Trognon, 1985) in which...
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Different bootstrap methods and estimation techniques for inference for structural vector autoregressive (SVAR) models …, a moving blocks bootstrap and a GARCH residual based bootstrap. Estimation is done by Gaussian maximum likelihood, a …
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