Identification of structural VAR models via independent component analysis: a performance evaluation study

DOI10.1016/J.JEDC.2022.104530OpenAlexW4296478665MaRDI QIDQ2102887FDOQ2102887

Authors: 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

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zbMATH Keywords

identificationnon-Gaussianityindependent component analysisgeneralized normal distributionstructural VARimpulse response functions

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Measuring and testing dependence by correlation of distances
• Identification and estimation of non-Gaussian structural vector autoregressions
• Independent component analysis, a new concept?
• Estimation of a structural vector autoregression model using non-Gaussianity
• Structural Vector Autoregressions With Nonnormal Residuals
• Title not available (Why is that?)
• Structural vector autoregressive analysis
• A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators
• Simulation of the \(p\)-generalized Gaussian distribution
• Asymptotic local efficiency of Cramér\,-\,von Mises tests for multivariate independence
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• A linear non-Gaussian acyclic model for causal discovery
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• The Granular Origins of Aggregate Fluctuations
• An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output
• Multivariate \(\theta\)-generalized normal distributions
• Statistical inference for independent component analysis: application to structural VAR models
• Independent component analysis: recent advances
• A further look at robustness via Bayes's theorem
• Identification and Estimation in Non-Fundamental Structural VARMA Models
• An Analysis of Transformations Revisited, Rebutted
• Experience with using the Box-Cox transformation when forecasting economic time series
• Identification of structural vector autoregressions through higher unconditional moments
• The analytics of SVARs: a unified framework to measure fiscal multipliers
• Do we reject restrictions identifying fiscal shocks? Identification based on non-Gaussian innovations
• Directed acyclic graph based information shares for price discovery
• The macroeconomic impact of microeconomic shocks: beyond Hulten's theorem

Cited In (8)

• Identification of nonlinear VAR models using general conditional independence graphs
• On weak identification in structural VARMA models
• Statistical inference for independent component analysis: application to structural VAR models
• Estimation of volatility causality in structural autoregressions with heteroskedasticity using independent component analysis
• 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
• Identifying structural VAR model with latent variables using overcomplete ICA

Uses Software

• ProDenICA
• pgnorm

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