On weak identification in structural VARMA models

DOI10.1016/J.ECONLET.2017.03.035MaRDI QIDQ1673503zbMATH OpenOpenAlexFDO

Authors Wenying Yao, Timothy Kam, Farshid Vahid

Publication date 12 September 2018

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2017.03.035

zbMATH Keywords

VARDSGEimpulse response analysisVARMA

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Dynamic stochastic general equilibrium theory (91B51)

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Cites work

• A complete VARMA modelling methodology based on scalar components
• Business cycle analysis and VARMA models
• Business cycle analysis without much theory: A look at structural VARs
• Econometric analysis of structural systems with permanent and transitory shocks
• Two canonical VARMA forms: scalar component models vis-à-vis the echelon form

Cited in

(5)

• Identifiability and estimation of possibly non-invertible SVARMA models: the normalised canonical WHF parametrisation
• VARMA representation of DSGE models
• Identification of structural VAR models via independent component analysis: a performance evaluation study
• GMM with Weak Identification
• Business cycle analysis and VARMA models

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