VAR analysis, nonfundamental representations, Blaschke matrices

DOI10.1016/0304-4076(93)01570-CzbMath0814.62078MaRDI QIDQ1341215

Marco Lippi, Lucrezia Reichlin

Publication date: 18 June 1995

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

structural VARalternative impulse-response functionsARMA structuresBlaschke matricesnonfundamentalness

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)

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Cites Work

• Linear transformations of vector ARMA processes
• Rational Expectations in Stationary Linear Models
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