Bayesian analysis of structural correlated unobserved components and identification via heteroskedasticity

DOI10.1515/snde-2020-0027OpenAlexW3172442479MaRDI QIDQ2700547

Ivan Mendieta-Muñoz, Mengheng Li

Publication date: 27 April 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2020-0027

zbMATH Keywords

state space modelsunobserved componentsidentification via heteroskedasticitypermanent and transitory shocksspillover structural effectstrends and cycles

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

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