Identification of Seasonal Effects in Impulse Responses Using Score-Driven Multivariate Location Models
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DOI: 10.1515/jem-2020-0003
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More about this item
Keywords
macroeconomic time series data; score-driven time series models; quasi-vector autoregressive (QVAR) model; stochastic seasonality;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
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