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Showing 1 to 3 of 3 for “"Student's t VAR"”.
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Essays on DSGE Models and Bayesian Estimation
… as practices of sovereignty which manifest variously as they master and produce space.
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Confronting Theory with Data: the Case of DSGE Modeling
… on unveiling the statistical model (structural VAR) behind the DSGE model, with a view to test its probabilistic assumptions vis-a-vis the data. It is shown that the implicit statistical model is seriously misspecified and the information from mis-specification (M-S) testing is then used to …
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Volatility Modeling Using the Student's t Distribution
… literature has produced a wealth of univariate and multivariate GARCH type models. While the univariate models have been relatively successful in empirical studies, they suffer from a number ofweaknesses, such as unverifiable parameter restrictions, existence of moment conditions and the …