Publications
- Lanne, M., and J. Luoto (2020). GMM Estimation of Non-Gaussian Structural Vector Autoregression, Journal of Business and Economic Statistics (forthcoming).
- Lanne, M., and J. Luoto (2020). Identification of Economic Shocks by Inequality Constraints in Bayesian Structural Vector Autoregression, Oxford Bulletin of Economics and Statistics 82, 425 – 452.
- Lanne, M., M. Meitz, and P. Saikkonen (2017). Identification and Estimation of Non-Gaussian Structural Vector Autoregressions, Journal of Econometrics 196, 288 – 304. (open access)
- Lanne, M., and H. Nyberg (2016). Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models, Oxford Bulletin of Economics and Statistics 78, 595 – 603. (working paper version)
- Lanne, M., and H. Lütkepohl (2014). A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks. In Knif, J., and B. Pape (eds.), Contributions to Mathematics, Statistics, Econometrics, and Finance: Essays is Honour of Professor Seppo Pynnönen, University of Vaasa, 137 – 152.
- Lanne, M., and H. Lütkepohl (2010). Structural Vector Autoregressions with Nonnormal Residuals, Journal of Business and Economic Statistics 28, 159 – 168. (working paper version)
- Lanne, M., H. Lütkepohl, and K. Maciejowska (2010). Structural Vector Autoregressions with Markov Switching, Journal of Economic Dynamics and Control 34, 121 – 131. (working paper version)
- Lanne, M., and H. Lütkepohl (2008). Identifying Monetary Policy Shocks via Changes in Volatility, Journal of Money, Credit, and Banking 40, 1131 – 1149. (working paper version)
Working Paper