Codependent VAR models and the pseudo-structural form
type: Item
instance of: scholarly article
title: Codependent VAR models and the pseudo-structural form
zbMATH Open document ID: 1443.62509
author: Carsten Trenkler
author: Enzo Weber
published in: AStA. Advances in Statistical Analysis
publication date: 2018-11-08T00:00:00Z
full work available at URL: CodependentVAR.pdf
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 6975345
zbMATH Keywords: codependence
zbMATH Keywords: VAR
zbMATH Keywords: pseudo-structural form
zbMATH Keywords: serial correlation common features
MaRDI profile type: Publication
OpenAlex ID: W1979884778
cites work: On non-contemporaneous short-run co-movements
cites work: A characterization of vector autoregressive processes with common cyclical features
cites work: Q5312885
cites work: Q3468494
cites work: Codependent cycles
cites work: The importance of common cyclical features in VAR analysis: A Monte-Carlo study.
DOI: 10.1007/S10182-012-0204-7
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description: scientific article; zbMATH DE number 6975345