GMM Estimation of Non-Gaussian Structural Vector Autoregression
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Cites work
- scientific article; zbMATH DE number 3549968 (Why is no real title available?)
- scientific article; zbMATH DE number 2199188 (Why is no real title available?)
- scientific article; zbMATH DE number 2188315 (Why is no real title available?)
- A Consistent Method for the Selection of Relevant Instruments
- Automatic Lag Selection in Covariance Matrix Estimation
- Blind separation of mixture of independent sources through a quasi-maximum likelihood approach
- Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
- Estimation of a structural vector autoregression model using non-Gaussianity
- Fourth moments and independent component analysis
- Hypothesis Testing with Efficient Method of Moments Estimation
- Identification and estimation of non-Gaussian structural vector autoregressions
- Identifying shocks via time-varying volatility
- Inference in VARs with conditional heteroskedasticity of unknown form
- Inference in nearly nonstationary SVAR models with long-run identifying restrictions
- Information in generalized method of moments estimation and entropy-based moment selection
- Large Sample Properties of Generalized Method of Moments Estimators
- Spurious inference in reduced-rank asset-pricing models
- Statistical inference for independent component analysis: application to structural VAR models
- Structural vector autoregressive analysis
- Testing for weak identification in possibly nonlinear models
- The asymptotic properties of GMM and indirect inference under second-order identification
- The large sample behaviour of the generalized method of moments estimator in misspecified models
Cited in
(8)- Diagnostic analystics in the Bayesian vector autoregressive model
- Locally robust inference for non-Gaussian SVAR models
- Identification of vector autoregressive models with nonlinear contemporaneous structure
- Generalized covariance-based inference for models set-identified from independence restrictions
- Non-independent component analysis
- SVAR identification with nowcasted macroeconomic data
- Specification tests for non-Gaussian structural vector autoregressions
- Statistical Identification of Independent Shocks with Kernel-based Maximum Likelihood Estimation and an Application to the Global Crude Oil Market
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