Are spectral estimators useful for long-run restrictions in SVARs?

DOI10.1016/j.jedc.2012.06.007zbMath1346.62109OpenAlexW2003073678MaRDI QIDQ318860

Elmar Mertens

Publication date: 6 October 2016

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2012.06.007

zbMATH Keywords

spectral factorizationnonparametric estimationlong-run identificationstructural VAR

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes and spectral analysis (62M15)

Related Items (1)

Measuring nonfundamentalness for structural VARs

Cites Work

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