Identification and estimation of non-Gaussian structural vector autoregressions

DOI10.1016/J.JECONOM.2016.06.002zbMATHOpenAlexWikidataMaRDI QIDQ77374FDO

Authors Markku Lanne, Mika Meitz, Pentti Saikkonen, Markku Lanne, Mika Meitz, Pentti Saikkonen

Publication date February 2017

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2016.06.002

zbMATH Keywords

identificationimpulse responsesnon-Gaussianitystructural vector autoregressive model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Recommendations

• Structural Vector Autoregressions With Nonnormal Residuals
• Estimation of a structural vector autoregression model using non-Gaussianity
• Structural vector autoregressions: theory of identification and algorithms for inference
• Testing for identification in SVAR-GARCH models
• Identifying structural vector autoregressions via changes in volatility

Cites work

• scientific article; zbMATH DE number 4029737 (Why is no real title available?)
• scientific article; zbMATH DE number 193126 (Why is no real title available?)
• scientific article; zbMATH DE number 3426633 (Why is no real title available?)
• A note on time-reversibility of multivariate linear processes
• A test for independence based on the correlation dimension
• Approximation Theorems of Mathematical Statistics
• Blind separation of mixture of independent sources through a quasi-maximum likelihood approach
• Consistent independent component analysis and prewhitening
• DSGE models with Student-\(t\) errors
• Estimation of a structural vector autoregression model using non-Gaussianity
• Identification Results for Armax Structures
• Identifying restrictions of linear equations with applications to simultaneous equations and cointegration
• Independent component analysis, a new concept?
• Maximum likelihood estimation for all-pass time series models
• Maximum likelihood estimation for noncausal autoregressive processes
• Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity
• Multivariate AR systems and mixed frequency data: G-identifiability and estimation
• Noncausal autoregressions for economic time series
• On Uniqueness of Moving Average Representations of Heavy‐tailed Stationary Processes
• Relations between Weak and Uniform Convergence of Measures with Applications
• Semiparametrically efficient inference based on signed ranks in symmetric independent component models
• Stock market conditions and monetary policy in a DSGE model for the U.S.
• Structural Vector Autoregressions With Nonnormal Residuals
• Structural vector autoregressions with Markov switching
• The Lindeberg-Levy Theorem for Martingales
• \(R\)-estimation for asymmetric independent component analysis

Cited in

(58)

• Consistent causal inference for high-dimensional time series
• Specification tests for non-Gaussian structural vector autoregressions
• Identification of structural multivariate GARCH models
• Identification of Structural Vector Autoregressions by Stochastic Volatility
• Do we reject restrictions identifying fiscal shocks? Identification based on non-Gaussian innovations
• Using time-varying volatility for identification in vector autoregressions: an application to endogenous uncertainty
• Likelihood preserving normalization in multiple equation models
• Structural vector autoregressions: theory of identification and algorithms for inference
• Identifiability and estimation of possibly non-invertible SVARMA models: the normalised canonical WHF parametrisation
• Statistical inference for independent component analysis: application to structural VAR models
• Structural Vector Autoregressions With Nonnormal Residuals
• A Generalized Method of Moments Estimator for Structural Vector Autoregressions Based on Higher Moments
• GMM Estimation of Non-Gaussian Structural Vector Autoregression
• Structural vector autoregressive models with more shocks than variables identified via heteroskedasticity
• Directed acyclic graph based information shares for price discovery
• Zero-diagonality as a linear structure
• Non-Gaussian VARMA model with stochastic volatility and applications in stock market bubbles
• Identification of structural vector autoregressions through higher unconditional moments
• Bayesian nonparametric vector autoregressive models
• Inference in nearly nonstationary SVAR models with long-run identifying restrictions
• Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks
• Non-maturing deposits modelling in an Ornstein-Uhlenbeck framework
• Estimating and identifying vector autoregressions under diagonality and block exogeneity restrictions
• The Jacobian of the exponential function
• Estimation and inference of dynamic structural factor models with over-identifying restrictions
• Measuring nonfundamentalness for structural VARs
• Proxy SVAR identification of monetary policy shocks -- Monte Carlo evidence and insights for the US
• Identification of structural VAR models via independent component analysis: a performance evaluation study
• Identifying structural VAR model with latent variables using overcomplete ICA
• Identification of vector autoregressive models with nonlinear contemporaneous structure
• Identifying structural vector autoregressions via changes in volatility
• The importance of supply and demand for oil prices: Evidence from non‐Gaussianity
• Asymptotically valid Bayesian inference in the presence of distributional misspecification in VAR models
• Identifiability and estimation of structural vector autoregressive models for subsampled and mixed-frequency time series
• Inference based on structural vector autoregressions identified with sign and zero restrictions: theory and applications
• Vector autoregression models with skewness and heavy tails
• Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions
• Point estimation in sign-restricted SVARs based on independence criteria with an application to rational bubbles
• Modelling interaction patterns in a predator-prey system of two freshwater organisms in discrete time: an identified structural VAR approach
• Smooth-transition SVAR and external instrument: insights on the identifying assumptions
• Temporal aggregation and SVAR identification, with an application to fiscal policy
• Estimation of a structural vector autoregression model using non-Gaussianity
• Testing identification via heteroskedasticity in structural vector autoregressive models
• Structural vector autoregressions with Markov switching: combining conventional with statistical identification of shocks
• Estimating overidentified, nonrecursive, time-varying coefficients structural vector autoregressions
• The ontological status of shocks and trends in macroeconomics
• Time series estimation of the dynamic effects of disaster-type shocks
• Locally robust inference for non-Gaussian SVAR models
• Refining set-identification in VARs through independence
• Identification of nonlinear VAR models using general conditional independence graphs
• A topological view on the identification of structural vector autoregressions
• Locally robust inference for non-Gaussian linear simultaneous equations models
• On identifying structural VAR models via ARCH effects
• Dynamic Score-Driven Independent Component Analysis
• Identification and Estimation of Structural VARMA Models Using Higher Order Dynamics
• Identifying Structural Vector Autoregression via Leptokurtic Economic Shocks
• Estimation of non-Gaussian SVAR models: a pseudo-log-likelihood function approach
• Change point test for structural vector autoregressive model via independent component analysis

This page was built for publication: Identification and estimation of non-Gaussian structural vector autoregressions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q77374)