Testing identification via heteroskedasticity in structural vector autoregressive models
author
statement of authorship
Helmut Lütkepohl, Mika Meitz, Aleksei Netšunajev, Pentti Saikkonen
source
The econometrics journal
publisher
journal volume number month
vol. 24, 1
year of publication
pages
22 p
ISSN
1368-4221
notes
Bibliogr.: 30 ref
Open Access
Open Access
scientific publication
teaduspublikatsioon
language
inglise
subject term
keyword
heteroskedasticity
structural identification
vector autoregressive process
classifier
kvartiil
category (general)
TTÜ department
Saikkonen, P., Netšunajev, A., Meitz, M., Lütkepohl, H. Testing identification via heteroskedasticity in structural vector autoregressive models // The econometrics journal (2021) vol. 24, 1, 22 p.