Structural Vector Autoregressions With Nonnormal Residuals
نویسندگان
چکیده
منابع مشابه
Structural Vector Autoregressions with Nonnormal Residuals
In structural vector autoregressive (SVAR) models identifying restrictions for shocks and impulse responses are usually derived from economic theory or institutional constraints. Sometimes the restrictions are insufficient for identifying all shocks and impulse responses. In this paper it is pointed out that specific distributional assumptions can also help in identifying the structural shocks....
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ژورنال
عنوان ژورنال: Journal of Business & Economic Statistics
سال: 2010
ISSN: 0735-0015,1537-2707
DOI: 10.1198/jbes.2009.06003