Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors

IF 9.9 3区经济学 Q1 ECONOMICS

Journal of Econometrics Pub Date : 2024-05-16 DOI:10.1016/j.jeconom.2024.105750

Paolo Gorgi, Siem Jan Koopman, Julia Schaumburg

引用次数: 0

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具有动态因子系数和条件异方差误差的向量自回归

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Econometrics 社会科学-数学跨学科应用

CiteScore

8.60

自引率

1.60%

发文量

220

审稿时长

3-8 weeks

期刊介绍： The Journal of Econometrics serves as an outlet for important, high quality, new research in both theoretical and applied econometrics. The scope of the Journal includes papers dealing with identification, estimation, testing, decision, and prediction issues encountered in economic research. Classical Bayesian statistics, and machine learning methods, are decidedly within the range of the Journal''s interests. The Annals of Econometrics is a supplement to the Journal of Econometrics.