Estimating and identifying vector autoregressions under diagonality and block exogeneity restrictions

DOI10.1016/J.ECONLET.2004.10.004zbMath1255.62262OpenAlexW3125239628MaRDI QIDQ1927788

William D. Lastrapes

Publication date: 2 January 2013

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2004.10.004

zbMATH Keywords

identificationVARimpulse response function

Mathematics Subject Classification ID

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

Cites Work

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