Identification and Estimation in Non-Fundamental Structural VARMA Models
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Other versions of this item:
- Christian Gouriéroux & Alain Monfort & Jean-Paul Renne, 2020. "Identification and Estimation in Non-Fundamental Structural VARMA Models," Review of Economic Studies, Oxford University Press, vol. 87(4), pages 1915-1953.
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KeywordsStructural VARMA; Fundamental Representation; Identi?cation; Shocks; Impulse Response Function; Incomplete Likelihood; Composite Likelihood; Economic Scenario Generators;
All these keywords.
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- 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
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ECM-2018-01-15 (Econometrics)
- NEP-ETS-2018-01-15 (Econometric Time Series)
- NEP-MAC-2018-01-15 (Macroeconomics)
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