Identifiability of structural singular vector autoregressive models-Reference-Cited by-同舟云学术

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Identifiability of structural singular vector autoregressive models

Published:2021-01-06 Issue: Volume: Page:
ISSN:0143-9782
Container-title:Journal of Time Series Analysis
language:en
Short-container-title:J. Time Ser. Anal.

Author:

Funovits Bernd¹²^ORCID,Braumann Alexander³

Affiliation:

1. Faculty of Social Sciences, Discipline of Economics University of Helsinki Helsinki Finland

2. Institute of Statistics and Mathematical Methods in Economics, Econometrics and System Theory TU Wien Vienna Austria

3. TU Braunschweig Institute for Mathematical Stochastics Braunschweig Germany

Funder

Oesterreichische Nationalbank

Helsingin Yliopiston Tiedesäätiö

Helsingin Yliopisto

Publisher

Wiley

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/jtsa.12576

Reference28 articles.

1. A unifying theory of tests of rank

2. Properties of zero‐free spectral matrices;Anderson BDO;IEEE Transactions on Automatic Control,2009

3. Autoregressive models of singular spectral matrices;Anderson BDO;Automatica,2012

4. Determining the Number of Primitive Shocks in Factor Models

5. Habit formation and the persistence of monetary shocks

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Identification of Singular and Noisy Structural VAR Models: The Collapsing-Ica Approach;SSRN Electronic Journal;2022

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