On weak identification in structural VARMA models

DOI10.1016/j.econlet.2017.03.035zbMath1396.91421OpenAlexW2605220265MaRDI QIDQ1673503

Timothy Kam, Farshid Vahid, Wenying Yao

Publication date: 12 September 2018

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2017.03.035

zbMATH Keywords

VARDSGEimpulse response analysisVARMA

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Dynamic stochastic general equilibrium theory (91B51)

Cites Work

• Business cycle analysis without much theory: A look at structural VARs
• Business cycle analysis and VARMA models
• Econometric analysis of structural systems with permanent and transitory shocks
• A complete VARMA modelling methodology based on scalar components
• Two Canonical VARMA Forms: Scalar Component Models Vis-à-Vis the Echelon Form

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