Statistical inference for independent component analysis: application to structural VAR models

DOI10.1016/J.JECONOM.2016.09.007zbMATH Open1443.62262OpenAlexW2530174677MaRDI QIDQ341899FDOQ341899

Christian Gouriéroux, Alain Monfort, Jean-Paul Renne

Publication date: 17 November 2016

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

Full work available at URL: http://crest.science/RePEc/wpstorage/2016-20.pdf

zbMATH Keywords

identificationindependent component analysispseudo maximum likelihoodCayley transformstructural VARimpulse response functionsstructural shocks

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Cites Work

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Cited In (34)

• Identifiability and estimation of possibly non-invertible SVARMA models: the normalised canonical WHF parametrisation
• Do we reject restrictions identifying fiscal shocks? Identification based on non-Gaussian innovations
• Directed acyclic graph based information shares for price discovery
• Locally robust inference for non-Gaussian SVAR models
• A Generalized Method of Moments Estimator for Structural Vector Autoregressions Based on Higher Moments
• GMM Estimation of Non-Gaussian Structural Vector Autoregression
• Identification of vector autoregressive models with nonlinear contemporaneous structure
• Kolmogorov-Smirnov type testing for structural breaks: a new adjusted-range based self-normalization approach
• Asymptotically valid Bayesian inference in the presence of distributional misspecification in VAR models
• Modelling interaction patterns in a predator-prey system of two freshwater organisms in discrete time: an identified structural VAR approach
• Estimation of non-Gaussian SVAR models: a pseudo-log-likelihood function approach
• The Jacobian of the exponential function
• Identification of structural VAR models via independent component analysis: a performance evaluation study
• Proxy SVAR identification of monetary policy shocks -- Monte Carlo evidence and insights for the US
• Dynamic Score-Driven Independent Component Analysis
• Identification and Estimation of Structural VARMA Models Using Higher Order Dynamics
• Generalized Covariance Estimator
• Identifying Structural Vector Autoregression via Leptokurtic Economic Shocks
• Change point test for structural vector autoregressive model via independent component analysis
• Identification of Structural Vector Autoregressions by Stochastic Volatility
• Identification of structural multivariate GARCH models
• Title not available (Why is that?)
• The importance of supply and demand for oil prices: Evidence from non‐Gaussianity
• The sampling properties of conditional independence graphs forI(1) structural VAR models
• Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations
• Refining set-identification in VARs through independence
• Identification of structural vector autoregressions through higher unconditional moments
• Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions
• Point estimation in sign-restricted SVARs based on independence criteria with an application to rational bubbles
• Consistent causal inference for high-dimensional time series
• Specification tests for non-Gaussian structural vector autoregressions
• Testing for strong exogeneity in proxy-VARs
• Time series estimation of the dynamic effects of disaster-type shocks
• Locally robust inference for non-Gaussian linear simultaneous equations models

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