Identification and estimation of non-Gaussian structural vector autoregressions
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Publication:77374
DOI10.1016/J.JECONOM.2016.06.002zbMATH Open1403.62165OpenAlexW2532998675WikidataQ61626408 ScholiaQ61626408MaRDI QIDQ77374FDOQ77374
Authors: Markku Lanne, Mika Meitz, Pentti Saikkonen, Markku Lanne, Mika Meitz, Pentti Saikkonen 
Publication date: February 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.06.002
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)
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Cited In (47)
- Identifiability and estimation of possibly non-invertible SVARMA models: the normalised canonical WHF parametrisation
- Zero-diagonality as a linear structure
- Non-Gaussian VARMA model with stochastic volatility and applications in stock market bubbles
- Identification of nonlinear VAR models using general conditional independence graphs
- Do we reject restrictions identifying fiscal shocks? Identification based on non-Gaussian innovations
- Likelihood preserving normalization in multiple equation models
- Directed acyclic graph based information shares for price discovery
- Vector autoregression models with skewness and heavy tails
- 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
- Non-maturing deposits modelling in an Ornstein-Uhlenbeck framework
- Using time-varying volatility for identification in vector autoregressions: an application to endogenous uncertainty
- Identifiability and estimation of structural vector autoregressive models for subsampled and mixed-frequency time series
- Asymptotically valid Bayesian inference in the presence of distributional misspecification in VAR models
- Estimation of a structural vector autoregression model using non-Gaussianity
- 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
- Structural Vector Autoregressions With Nonnormal Residuals
- 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
- 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
- Structural vector autoregressions: theory of identification and algorithms for inference
- Identification of structural multivariate GARCH models
- Temporal aggregation and SVAR identification, with an application to fiscal policy
- Estimating overidentified, nonrecursive, time-varying coefficients structural vector autoregressions
- Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks
- svars
- Statistical inference for independent component analysis: application to structural VAR models
- The importance of supply and demand for oil prices: Evidence from non‐Gaussianity
- Testing identification via heteroskedasticity in structural vector autoregressive models
- Inference in nearly nonstationary SVAR models with long-run identifying restrictions
- 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
- Bayesian nonparametric vector autoregressive models
- 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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