On identifying permanent and transitory shocks in VAR models

DOI10.1016/S0165-1765(97)00268-1zbMath0907.90076WikidataQ126583456 ScholiaQ126583456MaRDI QIDQ1129154

Minxian Yang

Publication date: 13 August 1998

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

cointegrationimpulse responseserror-correction models

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Cites Work

• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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