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autocovariogram

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wmutschl / ReplicationDSGENonlinearIdentification

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Replication code for checking identification in nonlinear pruned DSGE models with Gaussian or Student's t distributed errors

nonlinear gaussian identification pruning dsge power-spectrum spectral-density-estimates dsge-models t-distribution perturbation bispectrum bispectrum-computation skewness kurtosis trispectrum trispectrum-computation autocovariogram higher-order-statistics
  • Updated Apr 8, 2022
  • MATLAB

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