Structural Vector Autoregressions with Nonnormal Residuals
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- Lanne, Markku & LÃ¼tkepohl, Helmut, 2010. "Structural Vector Autoregressions With Nonnormal Residuals," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(1), pages 159-168.
- Markku Lanne & Helmut Luetkepohl, 2006. "Structural Vector Autoregressions with Nonnormal Residuals," CESifo Working Paper Series 1651, CESifo Group Munich.
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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-ALL-2006-02-12 (All new papers)
- NEP-ECM-2006-02-12 (Econometrics)
- NEP-ETS-2006-02-12 (Econometric Time Series)
- NEP-MAC-2006-02-12 (Macroeconomics)
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