Statistical inference for independent component analysis: application to structural VAR models
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Cites work
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- Consistent independent component analysis and prewhitening
- Consistent noisy independent component analysis
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- Identification and estimation of non-Gaussian structural vector autoregressions
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- The varimax criterion for analytic rotation in factor analysis
Cited in
(47)- Identification of structural VAR models via independent component analysis: a performance evaluation study
- Identification of structural multivariate GARCH models
- Modelling interaction patterns in a predator-prey system of two freshwater organisms in discrete time: an identified structural VAR approach
- Do we reject restrictions identifying fiscal shocks? Identification based on non-Gaussian innovations
- Directed acyclic graph based information shares for price discovery
- Proxy SVAR identification of monetary policy shocks -- Monte Carlo evidence and insights for the US
- Asymptotically valid Bayesian inference in the presence of distributional misspecification in VAR models
- Identification of structural vector autoregressions through higher unconditional moments
- The Jacobian of the exponential function
- The sampling properties of conditional independence graphs forI(1) structural VAR models
- scientific article; zbMATH DE number 1779494 (Why is no real title available?)
- Identifying structural VAR model with latent variables using overcomplete ICA
- Extracting conditionally heteroskedastic components using independent component analysis
- Consistent pseudo-maximum likelihood estimators and groups of transformations
- Estimation of non-Gaussian SVAR models: a pseudo-log-likelihood function approach
- Change point test for structural vector autoregressive model via independent component analysis
- Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions
- Refining set-identification in VARs through independence
- Point estimation in sign-restricted SVARs based on independence criteria with an application to rational bubbles
- Locally robust inference for non-Gaussian linear simultaneous equations models
- Kolmogorov-Smirnov type testing for structural breaks: a new adjusted-range based self-normalization approach
- Time series estimation of the dynamic effects of disaster-type shocks
- The importance of supply and demand for oil prices: Evidence from non‐Gaussianity
- Dynamic Score-Driven Independent Component Analysis
- Identification and Estimation of Structural VARMA Models Using Higher Order Dynamics
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- Identifying Structural Vector Autoregression via Leptokurtic Economic Shocks
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- A Generalized Method of Moments Estimator for Structural Vector Autoregressions Based on Higher Moments
- Identification of Structural Vector Autoregressions by Stochastic Volatility
- Specification tests for non-Gaussian structural vector autoregressions
- Testing for strong exogeneity in proxy-VARs
- Consistent causal inference for high-dimensional time series
- SVAR identification with nowcasted macroeconomic data
- Partial observability of implied volatility matrices: identification and covolatilities filtering
- Towards identification of shocks in linear state-space models: application to stochastic volatility model
- Statistical Identification of Independent Shocks with Kernel-based Maximum Likelihood Estimation and an Application to the Global Crude Oil Market
- Structural stability of functional data -- a new adjusted-range-based self-normalization approach
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- Time-varying shock transmission in non-Gaussian structural vector autoregressions
- Identification through sparsity in factor models: the _1-rotation criterion
- GCov-based portmanteau test
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