Identification of structural vector autoregressions through higher unconditional moments

DOI10.1016/J.JECONOM.2020.10.006OpenAlexW3107384034MaRDI QIDQ2236880FDOQ2236880

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

• Large Sample Properties of Generalized Method of Moments Estimators
• Identification and estimation of non-Gaussian structural vector autoregressions
• Independent component analysis, a new concept?
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• Bootstrap testing of the rank of a matrix via least-squared constrained estimation
• Title not available (Why is that?)
• Dimension estimation in sufficient dimension reduction: a unifying approach
• Structural vector autoregressions with Markov switching
• Edgeworth correction by bootstrap in autoregressions
• Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators
• Structural vector autoregressive analysis
• MODEL SELECTION AND INFERENCE: FACTS AND FICTION
• Generalized reduced rank tests using the singular value decomposition
• Consistent noisy independent component analysis
• Bootstrap tests: how many bootstraps?
• TESTS OF RANK
• Identification and Lack of Identification
• Confidence intervals for impulse responses under departures from normality
• An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output
• Title not available (Why is that?)
• Statistical inference for independent component analysis: application to structural VAR models
• Title not available (Why is that?)
• The asymptotic properties of GMM and indirect inference under second-order identification
• A unifying theory of tests of rank

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

This page was built for publication: Identification of structural vector autoregressions through higher unconditional moments

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2236880)