Plausibility of big shocks within a linear state space setting with skewness
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References listed on IDEAS
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More about this item
Keywords
Maximum likelihood estimation; state space models; closed skew-normal distribution; DSGE; VAR;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
NEP fields
This paper has been announced in the following NEP Reports:- NEP-DGE-2016-03-06 (Dynamic General Equilibrium)
- NEP-ECM-2016-03-06 (Econometrics)
- NEP-ETS-2016-03-06 (Econometric Time Series)
- NEP-FOR-2016-03-06 (Forecasting)
- NEP-MAC-2016-03-06 (Macroeconomics)
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