Testing identification via heteroskedasticity in structural vector autoregressive models

DOI10.1093/ECTJ/UTAA008OpenAlexW2899211508MaRDI QIDQ5083239

Aleksei Netšunajev, Mika Meitz, Pentti Saikkonen, Helmut Lütkepohl

Publication date: 22 June 2022

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/ectj/utaa008

zbMATH Keywords

structural identificationheteroskedasticityvector autoregressive process

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity

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