Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions-Reference-Cited by-同舟云学术

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Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions

Published:2022-07 Issue: Volume: Page:
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Fiorentini Gabriele,Sentana Enrique

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference52 articles.

1. Moment tests for independent components;Amengual;SERIEs,2022

2. Specification tests for non-Gaussian structural vector autoregressions;Amengual,2022

3. PML vs minimum χ2: The comeback;Amengual,2022

4. Nets: Network estimation for time series;Barigozzi;J. Appl. Econometrics,2019

5. On a mixture of normal distributions;Behboodian;Biometrika,1970

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1. Statistical identification of independent shocks with kernel-based maximum likelihood estimation and an application to the global crude oil market;Journal of Business & Economic Statistics;2024-08-06

2. Specification tests for non-Gaussian structural vector autoregressions;Journal of Econometrics;2024-07

3. Identification of vector autoregressive models with nonlinear contemporaneous structure;Journal of Economic Dynamics and Control;2024-05

4. Estimating the Fed’s unconventional policy shocks;Journal of Monetary Economics;2024-05

5. Unraveling the structural sources of oil production and their impact on CO2 emissions;Energy Economics;2024-04

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