Structural Vector Autoregressive Analysis for Cointegrated Variables
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Other versions of this item:
- Helmut Lütkepohl, 2006. "Structural vector autoregressive analysis for cointegrated variables," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 90(1), pages 75-88, March.
References listed on IDEAS
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More about this item
KeywordsCointegration; vector autoregressive process; vector error correction model;
- 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-ALL-2005-08-13 (All new papers)
- NEP-ECM-2005-08-13 (Econometrics)
- NEP-ETS-2005-08-13 (Econometric Time Series)
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