General-to-Specific Model Selection Procedures for Structural Vector Autoregressions*
نویسندگان
چکیده
منابع مشابه
General–to–Specific Model Selection Procedures for Structural Vector Autoregressions
Structural vector autoregressive (SVAR) models have emerged as a dominant research strategy in empirical macroeconomics, but suffer from the large number of parameters employed and the resulting estimation uncertainty associated with their impulse responses. In this paper we propose general-to-specific model selection procedures to overcome these limitations. After showing that single-equation ...
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ژورنال
عنوان ژورنال: Oxford Bulletin of Economics and Statistics
سال: 2003
ISSN: 0305-9049,1468-0084
DOI: 10.1046/j.0305-9049.2003.00088.x