Codependent VAR models and the pseudo-structural form

DOI10.1007/s10182-012-0204-7zbMath1443.62509OpenAlexW1979884778MaRDI QIDQ1621247

Enzo Weber, Carsten Trenkler

Publication date: 8 November 2018

Published in: AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL: https://epub.uni-regensburg.de/24776/1/CodependentVAR.pdf

zbMATH Keywords

VARserial correlation common featurescodependencepseudo-structural form

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

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• A characterization of vector autoregressive processes with common cyclical features
• Codependent cycles
• The importance of common cyclical features in VAR analysis: A Monte-Carlo study.
• On non-contemporaneous short-run co-movements

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