Likelihood preserving normalization in multiple equation models

DOI10.1016/S0304-4076(03)00087-3zbMath1013.62093OpenAlexW3121849057MaRDI QIDQ1810671

Daniel F. Waggoner, Tao Zha

Publication date: 9 June 2003

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

Full work available at URL: https://doi.org/10.1016/s0304-4076(03)00087-3

zbMATH Keywords

normalizationlikelihood shapeszero-density hyperplanes

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (7)

Striated Metropolis-Hastings sampler for high-dimensional models ⋮ Methods for inference in large multiple-equation Markov-switching models ⋮ Normalization in Econometrics ⋮ Realized stochastic volatility with general asymmetry and long memory ⋮ A topological view on the identification of structural vector autoregressions ⋮ A Gibbs sampler for structural vector autoregressions ⋮ Unnamed Item

Cites Work

• A Gibbs sampler for structural vector autoregressions
• Block recursion and structural vector autoregressions
• Normalization in Econometrics
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• Unnamed Item

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