Statistical inference for independent component analysis: application to structural VAR models
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Publication:341899
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Cited in
(36)- Identification of structural multivariate GARCH models
- Identification of Structural Vector Autoregressions by Stochastic Volatility
- Do we reject restrictions identifying fiscal shocks? Identification based on non-Gaussian innovations
- Kolmogorov-Smirnov type testing for structural breaks: a new adjusted-range based self-normalization approach
- Identifiability and estimation of possibly non-invertible SVARMA models: the normalised canonical WHF parametrisation
- A Generalized Method of Moments Estimator for Structural Vector Autoregressions Based on Higher Moments
- GMM Estimation of Non-Gaussian Structural Vector Autoregression
- Directed acyclic graph based information shares for price discovery
- Identification of structural vector autoregressions through higher unconditional moments
- The Jacobian of the exponential function
- Proxy SVAR identification of monetary policy shocks -- Monte Carlo evidence and insights for the US
- Extracting conditionally heteroskedastic components using independent component analysis
- Identification of structural VAR models via independent component analysis: a performance evaluation study
- Identifying structural VAR model with latent variables using overcomplete ICA
- Identification of vector autoregressive models with nonlinear contemporaneous structure
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- The importance of supply and demand for oil prices: Evidence from non‐Gaussianity
- Consistent pseudo-maximum likelihood estimators and groups of transformations
- Asymptotically valid Bayesian inference in the presence of distributional misspecification in VAR models
- 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
- Modelling interaction patterns in a predator-prey system of two freshwater organisms in discrete time: an identified structural VAR approach
- The sampling properties of conditional independence graphs forI(1) structural VAR models
- Time series estimation of the dynamic effects of disaster-type shocks
- Locally robust inference for non-Gaussian SVAR models
- Refining set-identification in VARs through independence
- Locally robust inference for non-Gaussian linear simultaneous equations models
- Consistent causal inference for high-dimensional time series
- Dynamic Score-Driven Independent Component Analysis
- Specification tests for non-Gaussian structural vector autoregressions
- Testing for strong exogeneity in proxy-VARs
- Identification and Estimation of Structural VARMA Models Using Higher Order Dynamics
- Generalized Covariance Estimator
- Identifying Structural Vector Autoregression via Leptokurtic Economic Shocks
- Estimation of non-Gaussian SVAR models: a pseudo-log-likelihood function approach
- Change point test for structural vector autoregressive model via independent component analysis
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