Are Spillovers Changing During Crises? Evidence from the Threshold VAR Models
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THE EFFECT OF VARYING LENGTH VAR MODELS ON THE MAXIMUM LIKELIHOOD ESTIMATES OF COINTEGRATING VECTORS
1991 ◽
Vol 38
(4)
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pp. 317-323
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2009 ◽
Vol 58
(2)
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pp. 391-408
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Finite-sample simulation-based inference in VAR models with application to Granger causality testing
2006 ◽
Vol 135
(1-2)
◽
pp. 229-254
◽