Zobrazeno 1 - 10
of 400
pro vyhledávání: '"Lütkepohl, Helmut"'
We consider structural vector autoregressions identified through stochastic volatility. Our focus is on whether a particular structural shock is identified by heteroskedasticity without the need to impose any sign or exclusion restrictions. Three con
Externí odkaz:
http://arxiv.org/abs/2404.11057
Autor:
Bruns, Martin, Lütkepohl, Helmut
Publikováno v:
In Journal of Economic Dynamics and Control April 2024 161
Autor:
Lütkepohl, Helmut, Woźniak, Tomasz
In this study, Bayesian inference is developed for structural vector autoregressive models in which the structural parameters are identified via Markov-switching heteroskedasticity. In such a model, restrictions that are just-identifying in the homos
Externí odkaz:
http://arxiv.org/abs/1811.08167
Autor:
Bruns, Martin, Lütkepohl, Helmut
Publikováno v:
In Journal of Economic Dynamics and Control January 2022 134
Autor:
Boer, Lukas, Lütkepohl, Helmut
Publikováno v:
In Journal of Economic Dynamics and Control June 2021 127
Publikováno v:
In Journal of Econometrics October 2020 218(2):317-345
Autor:
Lütkepohl, Helmut, Woźniak, Tomasz
Publikováno v:
In Journal of Economic Dynamics and Control April 2020 113
Publikováno v:
In Econometrics and Statistics January 2020 13:69-83