Identification of linear stochastic models with covariance restrictions
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Bibliographic InfoPaper provided by Tilburg University, Faculty of Economics and Business Administration in its series Research Memorandum with number 144.
Date of creation: 1984
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Web page: http://www.tilburguniversity.edu/nl/over-tilburg-university/schools/economics-and-management/
Other versions of this item:
- Bekker, Paul A. & Pollock, D. S. G., 1986. "Identification of linear stochastic models with covariance restrictions," Journal of Econometrics, Elsevier, vol. 31(2), pages 179-208, March.
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- Waggoner, Daniel F. & Zha, Tao, 2003. "A Gibbs sampler for structural vector autoregressions," Journal of Economic Dynamics and Control, Elsevier, vol. 28(2), pages 349-366, November.
- Nikolay Iskrev, 2009.
"Local Identification in DSGE Models,"
w200907, Banco de Portugal, Economics and Research Department.
- Juan F. Rubio-Ram�rez & Daniel F. Waggoner & Tao Zha, 2010.
"Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference,"
Review of Economic Studies,
Oxford University Press, vol. 77(2), pages 665-696.
- Juan F. Rubio-Ramírez & Daniel F.Waggoner & Tao Zha, 2008. "Structural vector autoregressions: theory of identification and algorithms for inference," Working Paper 2008-18, Federal Reserve Bank of Atlanta.
- Bai, Jushan & Wang, Peng, 2014. "Identification theory for high dimensional static and dynamic factor models," Journal of Econometrics, Elsevier, vol. 178(2), pages 794-804.
- Paul Bekker, 1986. "A note on the identification of restricted factor loading matrices," Psychometrika, Springer, vol. 51(4), pages 607-611, December.
- George, Edward I. & Sun, Dongchu & Ni, Shawn, 2008. "Bayesian stochastic search for VAR model restrictions," Journal of Econometrics, Elsevier, vol. 142(1), pages 553-580, January.
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