Topics in structural VAR econometrics

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zbMath0754.62089MaRDI QIDQ1189544

Carlo Giannini

Publication date: 18 September 1992

Published in: Lecture Notes in Economics and Mathematical Systems (Search for Journal in Brave)

zbMATH Keywords

identification estimation invertible matrices stationary nonstationary multivariate normal distribution macroeconomic model random shocks \(AB\) model \(C\)-model \(K\)-model full information maximum likelihood methods structural VAR analysis SVAR models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

Related Items (2)

An alternative approach to estimation of structural vector error correction models with long-run restrictions ⋮ Aggregation of linear dynamic microeconomic models

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