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Testing identification via heteroskedasticity in structural vector autoregressive models

Peer-reviewed
Open access
DOI
10.1093/ectj/utaa008
Lütkepohl, Helmut; Meitz, Mika; Netsunajev, Aleksei; Saikkonen, Pentti
Econometrics Journal2021

Subgeometrically Ergodic Autoregressions with Autoregressive Conditional Heteroskedasticity

Peer-reviewed
Open access
DOI
10.1017/S026646662300035X
Meitz, Mika; Saikkonen, Pentti
Econometric Theory2023

Heteroskedasticity‐Robust Unit Root Testing for Trending Panels

Peer-reviewed
Open access
DOI
10.1111/jtsa.12446
Herwartz, Helmut; Maxand, Simone; Walle, Yabibal
Journal of Time Series Analysis2019

Testing identification via heteroskedasticity in structural vector autoregressive models

Open access
Lütkepohl, Helmut; Meitz, Mika Harri; Netšunajev, Aleksei ; Saikkonen, Pentti Juhani
DIW Discussion Papers2018

Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity

Peer-reviewed
DOI
10.1016/j.jmva.2012.07.015
Meitz, Mika; Saikkonen, Pentti
Journal of Multivariate Analysis2013

Size distortions of the wild bootstrapped HCCME-based LM test for serial correlation in the presence of asymmetric conditional heteroskedasticity

Peer-reviewed
Open access
DOI
10.1007/s00181-014-0817-7
Grobys, Klaus
Empirical Economics2014

A mixture autoregressive model based on Student's t-distribution

Peer-reviewed
Open access
DOI
10.1080/03610926.2021.1916531
Meitz, Mika; Preve, Daniel; Saikkonen, Pentti
Communications in Statistics: Theory and Methods2023

svars: An R Package for Data-Driven Identification in Multivariate Time Series Analysis

Peer-reviewed
Open access
DOI
10.18637/jss.v097.i05
Lange, Alexander; Dalheimer, Bernhard; Herwartz, Helmut; Maxand, Simone
Journal of Statistical Software2021

Testing identification via heteroskedasticity in structural vector autoregressive models

Peer-reviewed
Open access
DOI
10.1093/ectj/utaa008
2021

Subgeometrically Ergodic Autoregressions with Autoregressive Conditional Heteroskedasticity

Peer-reviewed
Open access
DOI
10.1017/S026646662300035X
2023

Heteroskedasticity‐Robust Unit Root Testing for Trending Panels

Peer-reviewed
Open access
DOI
10.1111/jtsa.12446
2019

Testing identification via heteroskedasticity in structural vector autoregressive models

Open access
2018

Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity

Peer-reviewed
DOI
10.1016/j.jmva.2012.07.015
2013

Size distortions of the wild bootstrapped HCCME-based LM test for serial correlation in the presence of asymmetric conditional heteroskedasticity

Peer-reviewed
Open access
DOI
10.1007/s00181-014-0817-7
2014

A mixture autoregressive model based on Student's t-distribution

Peer-reviewed
Open access
DOI
10.1080/03610926.2021.1916531
2023

svars: An R Package for Data-Driven Identification in Multivariate Time Series Analysis

Peer-reviewed
Open access
DOI
10.18637/jss.v097.i05
2021