Structural vector autoregressive analysis for cointegrated variables
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- Helmut Luetkepohl, 2005. "Structural Vector Autoregressive Analysis for Cointegrated Variables," Economics Working Papers ECO2005/02, European University Institute.
References listed on IDEAS
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More about this item
KeywordsCointegration; vector autoregressive process; vector error correction model JEL C32;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
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