Identifiability and estimation of possibly non-invertible SVARMA models: the normalised canonical WHF parametrisation
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Publication:6554226
DOI10.1016/j.jeconom.2024.105766MaRDI QIDQ6554226
Publication date: 12 June 2024
Published in: Journal of Econometrics (Search for Journal in Brave)
identifiabilityWiener-Hopf factorisationnon-Gaussianitynon-invertibilitystructural vector autoregressive moving-average models
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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