TY  -  
T1  - svars: An R Package for Data-Driven Identification in Multivariate Time Series Analysis 
SN  -  /  
UR  - http://hdl.handle.net/10138/335987 
T3  -  
A1  - Lange, Alexander; Dalheimer, Bernhard; Herwartz, Helmut; Maxand, Simone 
A2  -  
PB  -  
Y1  - 2021 
LA  - eng 
AB  - Structural vector autoregressive (SVAR) models are frequently applied to trace the contemporaneous linkages among (macroeconomic) variables back to an interplay of orthogonal structural shocks. Under Gaussianity the structural parameters are unidentified without additional (often external and not data-based) information. In contrast, the often reasonable assumption of heteroskedastic and/or non-Gaussian model disturbances offers the possibility to identify unique structural shocks. We describe t... 
VO  -  
IS  -  
SP  -  
OP  -  
KW  - 112 Statistics and probability; 113 Computer and information sciences; SVAR models; identification; independent components; non-Gaussian maximum likelihood; changes in volatility; smooth transition covariance; R; STRUCTURAL VECTOR AUTOREGRESSIONS; INDEPENDENT COMPONENT ANALYSIS; MONETARY-POLICY SHOCKS; CONDITIONAL HETEROSKEDASTICITY; STATISTICAL IDENTIFICATION; MODELS; BOOTSTRAP; INFERENCE; DYNAMICS; TESTS 
N1  -   
PP  -  
ER  -