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Structural Conditional Correlation

URN to cite this document:
urn:nbn:de:bvb:355-epub-95607
Weber, Enzo
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Date of publication of this fulltext: 28 Sep 2009 11:13


Abstract

A small strand of recent literature is occupied with identifying simultaneity in multiple equation systems through autoregressive conditional heteroscedasticity. Since this approach assumes that the structural innovations are uncorrelated, any contemporaneous connection of the endogenous variables needs to be exclusively explained by mutual spillover effects. In contrast, this paper allows for ...

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