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Volumn 22, Issue 2, 2006, Pages 235-257

Identification of covariance structures

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EID: 33644892174     PISSN: 02664666     EISSN: 14694360     Source Type: Journal    
DOI: 10.1017/S0266466606060105     Document Type: Article
Times cited : (12)

References (19)
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  • 3
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    • The dynamic effects of aggregate demand and aggregate supply shocks
    • Blanchard, O. & D. Quah (1989) The dynamic effects of aggregate demand and aggregate supply shocks. American Economic Review 79, 655-673.
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    • Blanchard, O.1    Quah, D.2
  • 4
    • 0003145834 scopus 로고
    • Vector autoregressive models: Specification, estimation, inference and forecasting
    • H. Pesaran & M. Wickens (eds.), Handbook of Applied Econometrics. Blackwell
    • Canova, F. (1995) Vector autoregressive models: Specification, estimation, inference and forecasting. In H. Pesaran & M. Wickens (eds.), Handbook of Applied Econometrics, vol. 1, Macroeconomics, pp. 73-138. Blackwell.
    • (1995) Macroeconomics , vol.1 , pp. 73-138
    • Canova, F.1
  • 7
    • 58149362781 scopus 로고
    • Identifying restrictions of linear equations with applications to simultaneous equations and cointegration
    • Johansen, S. (1995) Identifying restrictions of linear equations with applications to simultaneous equations and cointegration. Journal of Econometrics 69, 112-132.
    • (1995) Journal of Econometrics , vol.69 , pp. 112-132
    • Johansen, S.1
  • 9
    • 77956536507 scopus 로고    scopus 로고
    • A Multivariate Generalized Orthogonal Factor GARCH Model
    • Helsinki Center of Economic Research
    • Lanne, M. & P. Saikkonen (2005) A Multivariate Generalized Orthogonal Factor GARCH Model. Discussion paper no. 63, Helsinki Center of Economic Research.
    • (2005) Discussion Paper No. 63 , vol.63
    • Lanne, M.1    Saikkonen, P.2
  • 14
    • 0142003668 scopus 로고    scopus 로고
    • Identification through heteroskedasticity
    • Rigobon, R. (2003) Identification through heteroskedasticity. Review of Economics and Statistics 85, 777-792.
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    • Rigobon, R.1
  • 15
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    • Identification in parametric models
    • Rothenberg, T. (1971) Identification in parametric models. Econometrica 39, 577-591.
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    • Rothenberg, T.1
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    • Macroeconomics and reality
    • Sims, C.A. (1980) Macroeconomics and reality. Econometrica 48, 1-48.
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    • Sims, C.A.1
  • 17
    • 0036405224 scopus 로고    scopus 로고
    • GO-GARCH: A multivariate generalized orthogonal GARCH model
    • van der Weide, R. (2002) GO-GARCH: A multivariate generalized orthogonal GARCH model. Journal of Applied Econometrics 17, 549-564.
    • (2002) Journal of Applied Econometrics , vol.17 , pp. 549-564
    • Van Der Weide, R.1


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