Temporal aggregation in structural VAR models

DOI<link itemprop=identifier href="https://doi.org/10.1002/(SICI)1099-0747(199803)14:1<19::AID-ASM304>3.0.CO;2-H" /><19::AID-ASM304>3.0.CO;2-H 10.1002/(SICI)1099-0747(199803)14:1<19::AID-ASM304>3.0.CO;2-HzbMath0910.62121OpenAlexW2009513558MaRDI QIDQ4231207

Dimitis A. Georgoutsos, Dikaios E. Tserkezos, Georgios P. Kouretas

Publication date: 14 March 1999

Full work available at URL: https://doi.org/10.1002/(sici)1099-0747(199803)14:1<19::aid-asm304>3.0.co;2-h

zbMATH Keywords

identificationtemporal aggregationfull information maximum likelihoodstructural VARimpulse response functionsMonte Carlo technique

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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