Heteroscedastic Proxy Vector Autoregressions

DOI10.1080/07350015.2021.1920962zbMATH Open1547.62844MaRDI QIDQ6620946

Thore Schlaak, Helmut Lütkepohl

Publication date: 17 October 2024

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

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

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• Testing identification via heteroskedasticity in structural vector autoregressive models
• Bayesian Analysis of DSGE Models
• Structural Vector Autoregressive Analysis
• Time Varying Structural Vector Autoregressions and Monetary Policy

Related Items (2)

Heteroskedastic proxy vector autoregressions: an identification-robust test for time-varying impulse responses in the presence of multiple proxies ⋮ Testing for strong exogeneity in proxy-VARs

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