Valentin Patilea

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This paper constitutes a serious attempt to develop a new inference method for structural models with latent variables. In addition to tackling some difficult econometric issues, it is carefully executed with thoughtful discussions on many detailed issues. Overall, I see this article as a nice addition to the literature that focuses on the development of(More)
The problem of test of fit for Vector AutoRegressive (VAR) processes with unconditionally heteroscedastic errors is studied. The volatility structure is deterministic but time-varying and allows for changes that are commonly observed in economic or financial multivariate series such as breaks or smooth transitions. Our analysis is based on the residual(More)
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