A Review of Nonfundamentalness and Identification in Structural VAR Models
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- Alessi, Lucia & Barigozzi, Matteo & Capasso, Marco, 2008. "A review of nonfundamentalness and identification in structural VAR models," Working Paper Series 922, European Central Bank.
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More about this item
Keywords
Nonfundamentalness; Structural VAR; Dynamic Stochastic General Equilibrium Models; Factor Models;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
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2007-10-06 (Econometrics)
- NEP-ETS-2007-10-06 (Econometric Time Series)
Statistics
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