Testing for fundamental vector moving average representations

DOI10.3982/QE393MaRDI QIDQ4586305zbMATH OpenFDO

Authors Bin Chen, J. Carlos Escanciano, Jin Ho Choi

Publication date 12 September 2018

Published in Quantitative Economics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 3.0 Unported

Full work available at URL https://doi.org/10.3982/QE393

zbMATH Keywords

fundamental representationsgeneralized spectrumidentificationinvertible moving averagemartingale difference sequence (MDS)

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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(9)

• Measuring nonfundamentalness for structural VARs
• Misspecification of noncausal order in autoregressive processes
• Estimation of time series models using residuals dependence measures
• Statistical inference for independent component analysis: application to structural VAR models
• Heteroscedasticity testing after outlier removal
• Identification and Estimation of Structural VARMA Models Using Higher Order Dynamics
• Identifiability and estimation of possibly non-invertible SVARMA models: the normalised canonical WHF parametrisation
• Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application
• Conditional Moments of Noncausal Alpha-Stable Processes and the Prediction of Bubble Crash Odds

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