Supplementary appendix to "noncausal vector autoregression"

Lanne, Markku and Saikkonen, Pentti (2012): Supplementary appendix to "noncausal vector autoregression".

Abstract

This is a supplementary appendix to "Noncausal Vector Autoregression".

• Item Type: MPRA Paper
• Language: English
• Keywords: Vector autoregression; Noncausal time series; Non-Gaussian time series
• Subjects: C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models; Multiple Variables > C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E43 - Interest Rates: Determination, Term Structure, and Effects; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C52 - Model Evaluation, Validation, and Selection