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

DOI10.1016/j.jeconom.2016.09.007zbMath1443.62262OpenAlexW2530174677MaRDI QIDQ341899

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 analysisCayley transformstructural VARimpulse response functionspseudo maximum likelihoodstructural shocks

Mathematics Subject Classification ID

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

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