On the identification of multivariate correlated unobserved components models

DOI10.1016/j.econlet.2015.11.009zbMath1398.62250OpenAlexW2184680757MaRDI QIDQ1667981

Enzo Weber, Carsten Trenkler

Publication date: 31 August 2018

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

Full work available at URL: https://madoc.bib.uni-mannheim.de/39656/1/Trenkler_und_Weber_15-12.pdf

zbMATH Keywords

identificationVARMAunobserved components models

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

Bayesian analysis of structural correlated unobserved components and identification via heteroskedasticity

Cites Work

• Linear transformations of vector ARMA processes
• IDENTIFICATION OF UNOBSERVED COMPONENTS MODELS
• Unnamed Item
• Unnamed Item

This page was built for publication: On the identification of multivariate correlated unobserved components models