Identification of structural vector autoregressions through higher unconditional moments

DOI10.1016/J.JECONOM.2020.10.006MaRDI QIDQ2236880zbMATH OpenOpenAlexFDO

Authors Alain Guay

Publication date 26 October 2021

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10419/234814

zbMATH Keywords

skewnessbootstrap procedurerank teststructural vector autoregressionexcess kurtosisidentification condition

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

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Cited in

(15)

• Locally robust inference for non-Gaussian SVAR models
• Identification of vector autoregressive models with nonlinear contemporaneous structure
• Identifiability and estimation of structural vector autoregressive models for subsampled and mixed-frequency time series
• Identification of structural VAR models via independent component analysis: a performance evaluation study
• Identification and Estimation of Structural VARMA Models Using Higher Order Dynamics
• Generalized Covariance Estimator
• Identifying Structural Vector Autoregression via Leptokurtic Economic Shocks
• Estimating overidentified, nonrecursive, time-varying coefficients structural vector autoregressions
• Dynamic deconvolution and identification of independent autoregressive sources
• Revealing unnoticed properties of super exogeneity in a cointegrated vector autoregression
• Path and directionality discovery in individual dynamic models: a regularized unified structural equation modeling approach for hybrid vector autoregression
• Refining set-identification in VARs through independence
• Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions
• Testing for strong exogeneity in proxy-VARs
• Locally robust inference for non-Gaussian linear simultaneous equations models

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