Identification of structural VAR models via independent component analysis: a performance evaluation study
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Publication:2102887
DOI10.1016/J.JEDC.2022.104530OpenAlexW4296478665MaRDI QIDQ2102887FDOQ2102887
Alessio Moneta, Gianluca Pallante
Publication date: 12 December 2022
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2022.104530
identificationnon-Gaussianityindependent component analysisgeneralized normal distributionstructural VARimpulse response functions
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Cited In (5)
- Identification of nonlinear VAR models using general conditional independence graphs
- On weak identification in structural VARMA models
- Specification tests for non-Gaussian structural vector autoregressions
- An algorithm for independent component analysis using a general class of copula-based dependence criteria
- Locally robust inference for non-Gaussian linear simultaneous equations models
Uses Software
Recommendations
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- Statistical inference for independent component analysis: application to structural VAR models 👍 👎
- Identification and Estimation in Non-Fundamental Structural VARMA Models 👍 👎
- Identification of nonlinear VAR models using general conditional independence graphs 👍 👎
- Identifiability of structural singular vector autoregressive models 👍 👎
- Structural identification and variable selection in high-dimensional varying-coefficient models 👍 👎
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- On weak identification in structural VARMA models 👍 👎
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