Structural Vector Autoregressions with Nonnormal Residuals
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More about this item
Keywordsmixture normal distribution; cointegration; vector autoregressive process; vector error correction model; impulse responses;
- 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
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ETS-2006-04-08 (Econometric Time Series)
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