Identification of structural VAR models via independent component analysis: a performance evaluation study
From MaRDI portal
Publication:2102887
Recommendations
- Statistical inference for independent component analysis: application to structural VAR models
- Identification and Estimation in Non-Fundamental Structural VARMA Models
- Identifying structural VAR model with latent variables using overcomplete ICA
- On weak identification in structural VARMA models
- Identification of nonlinear VAR models using general conditional independence graphs
- Identifiability of structural singular vector autoregressive models
- Identification of structural multivariate GARCH models
- Identification of structural vector autoregressions through higher unconditional moments
- Structural identification and variable selection in high-dimensional varying-coefficient models
- Estimating structural VARMA models with uncorrelated but non-independent error terms
Cites work
- scientific article; zbMATH DE number 2199188 (Why is no real title available?)
- scientific article; zbMATH DE number 3062467 (Why is no real title available?)
- A further look at robustness via Bayes's theorem
- A linear non-Gaussian acyclic model for causal discovery
- A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators
- An Analysis of Transformations Revisited, Rebutted
- An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output
- Asymptotic local efficiency of Cramér\,-\,von Mises tests for multivariate independence
- Directed acyclic graph based information shares for price discovery
- Do we reject restrictions identifying fiscal shocks? Identification based on non-Gaussian innovations
- Effect of bias estimation on coverage accuracy of bootstrap confidence intervals for a probability density
- Estimation of a structural vector autoregression model using non-Gaussianity
- Experience with using the Box-Cox transformation when forecasting economic time series
- Identification and Estimation in Non-Fundamental Structural VARMA Models
- Identification and estimation of non-Gaussian structural vector autoregressions
- Identification of structural vector autoregressions through higher unconditional moments
- Independent component analysis, a new concept?
- Independent component analysis: recent advances
- Measuring and testing dependence by correlation of distances
- Multivariate \(\theta\)-generalized normal distributions
- Simulation of the \(p\)-generalized Gaussian distribution
- Statistical inference for independent component analysis: application to structural VAR models
- Structural Vector Autoregressions With Nonnormal Residuals
- Structural vector autoregressive analysis
- The Granular Origins of Aggregate Fluctuations
- The analytics of SVARs: a unified framework to measure fiscal multipliers
- The macroeconomic impact of microeconomic shocks: beyond Hulten's theorem
Cited in
(8)- Statistical inference for independent component analysis: application to structural VAR models
- Identifying structural VAR model with latent variables using overcomplete ICA
- On weak identification in structural VARMA models
- Estimation of volatility causality in structural autoregressions with heteroskedasticity using independent component analysis
- Identification of nonlinear VAR models using general conditional independence graphs
- Locally robust inference for non-Gaussian linear simultaneous equations models
- Specification tests for non-Gaussian structural vector autoregressions
- An algorithm for independent component analysis using a general class of copula-based dependence criteria
This page was built for publication: Identification of structural VAR models via independent component analysis: a performance evaluation study
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2102887)
