STRUCTURAL VECTOR AUTOREGRESSIONS: CHECKING IDENTIFYING LONG-RUN RESTRICTIONS VIA HETEROSKEDASTICITY-Reference-Cited by-同舟云学术

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STRUCTURAL VECTOR AUTOREGRESSIONS: CHECKING IDENTIFYING LONG-RUN RESTRICTIONS VIA HETEROSKEDASTICITY

Published:2014-12-05 Issue:2 Volume:30 Page:377-392
ISSN:0950-0804
Container-title:Journal of Economic Surveys
language:en
Short-container-title:Journal of Economic Surveys

Author:

Lütkepohl Helmut¹²,Velinov Anton²

Affiliation:

1. Freie Universität Berlin

2. DIW Berlin

Funder

Deutsche Forschungsgemeinschaft through the SFB 649 “Economic Risk”

Publisher

Wiley

Subject

Economics and Econometrics

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/joes.12100/fullpdf

Reference50 articles.

1. Bacchiocchi , E. Fanelli , L. 2012 Identification in structural vector autoregressive models with structural changes

2. How do stock prices respond to fundamental shocks?;Binswanger;Finance Research Letters,2004

3. Identifying the interdependence between US monetary policy and the stock market;Bjørnland;Journal of Monetary Economics,2009

4. The dynamic effects of aggregate demand and supply disturbances;Blanchard;American Economic Review,1989

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