Structural Vector Autoregressions With Nonnormal Residuals

DOI10.1198/jbes.2009.06003zbMath1198.62100OpenAlexW2045556227WikidataQ61626570 ScholiaQ61626570MaRDI QIDQ3160939

Markku Lanne, Helmut Lütkepohl

Publication date: 11 October 2010

Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1814/3933

zbMATH Keywords

cointegrationvector autoregressive processvector error correction modelimpulse responsesmixed normal distribution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Exact distribution theory in statistics (62E15)

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