Structural vector autoregressions with smooth transition in variances
author
Lütkepohl, Helmut
Netšunajev, Aleksei
statement of authorship
Helmut Lütkepohl, Aleksei Netšunajev
source
Journal of economic dynamics and control
journal volume number month
vol. 84
year of publication
2017
pages
p. 43-57 : ill
url
https://doi.org/10.1016/j.jedc.2017.09.001
subject term
majandusmudelid
autoregressioonimudelid
VAR-mudel
rahapoliitika
keyword
identification via heteroskedasticity
monetary policy shocks
smooth transition VAR models
ISSN
0165-1889
notes
Bibliogr. p. 57
TTÜ department
majandusanalüüsi ja rahanduse instituut
language
inglise