Identification and estimation of non-Gaussian structural vector autoregressions

DOI10.1016/J.JECONOM.2016.06.002zbMATH Open1403.62165OpenAlexW2532998675WikidataQ61626408 ScholiaQ61626408MaRDI QIDQ77374FDOQ77374

Markku Lanne, Mika Meitz, Markku Lanne, Mika Meitz, Pentti Saikkonen, 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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zbMATH Keywords

identificationimpulse responsesnon-Gaussianitystructural vector autoregressive model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Cites Work

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Cited In (44)

• 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
• Identification of structural multivariate GARCH models
• 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
• 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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