Structural analysis with independent innovations

Abstract

Structural innovations in multivariate dynamic systems are typically hidden and often identified by means of a-priori economic reasoning. Under multivariate Gaussian model innovations there is no loss measure available to distinguish alternative orderings of variables or, put differently, between particular identifying restrictions and rotations thereof… (More)

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Cite this paper

@inproceedings{Herwartz2014StructuralAW, title={Structural analysis with independent innovations}, author={Helmut Herwartz}, year={2014} }