Structural vector autoregressions with nonnormal residuals

Journal of Business and Economic Statistics

Volumn 28, Issue 1, 2010, Pages 159-168

  Lanne, Markku ^a   Lütkepohl, Helmut ^b  

^a UNIVERSITY OF HELSINKI   (Finland)

^b EUROPEAN UNIVERSITY INSTITUTE   (Italy)

Author keywords

Cointegration; Impulse responses; Mixed normal distribution; Vector autoregressive process; Vector error correction model

Indexed keywords

EID: 73149093891     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/jbes.2009.06003     Document Type: Article

References (19)

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