A topological view on the identification of structural vector autoregressions

DOI10.1016/j.econlet.2016.05.003zbMath1398.62243OpenAlexW2342324988MaRDI QIDQ1668288

Klaus Neusser

Publication date: 3 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://boris.unibe.ch/145828/

zbMATH Keywords

identificationperturbationgroup actionHaar measureSVARtime-varying covariance matrices

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Analysis of variance and covariance (ANOVA) (62J10)

Uses Software

• bvarsv
• mftoolbox

Cites Work

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• The Frobenius norm and the commutator
• Isotropic distributions of test matrices
• Likelihood preserving normalization in multiple equation models
• Random matrix theory
• Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference
• The Efficient Generation of Random Orthogonal Matrices with an Application to Condition Estimators
• Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information
• Functions of Matrices
• Prior Probabilities
• Identification in Parametric Models
• Time Varying Structural Vector Autoregressions and Monetary Policy

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