Identification and Estimation in Non-Fundamental Structural VARMA Models
نویسندگان
چکیده
منابع مشابه
Identification and Estimation in Non-Fundamental Structural VARMA Models∗
The basic assumption of a structural VARMA model (SVARMA) is that it is driven by a white noise whose components are independent and can be interpreted as economic shocks, called “structural” shocks. When the errors are Gaussian, independence is equivalent to noncorrelation and these models have to face two kinds of identification issues. The first identification problem is “static” and is due ...
متن کاملMultivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms
We consider portmanteau tests for testing the adequacy of structural vector autoregressive moving-average (VARMA) models under the assumption that the errors are uncorrelated but not necessarily independent. The structural forms are mainly used in econometrics to introduce instantaneous relationships between economic variables. We first study the joint distribution of the quasi-maximum likeliho...
متن کاملEstimating structural VARMA models with uncorrelated but non-independent error terms
The asymptotic properties of the quasi-maximum likelihood estimator (QMLE) of vector autoregressive moving-average (VARMA) models are derived under the assumption that the errors are uncorrelated but not necessarily independent. Relaxing the independence assumption considerably extends the range of application of the VARMA models, and allows to cover linear representations of general nonlinear ...
متن کاملIterative and Recursive Estimation in Structural Non-Adaptive Models
CIRANO Le CIRANO est un organisme sans but lucratif constitué en vertu de la Loi des compagnies du Québec. Le financement de son infrastructure et de ses activités de recherche provient des cotisations de ses organisations-membres, d'une subvention d'infrastructure du ministère de la Recherche, de la Science et de la Technologie, de même que des subventions et mandats obtenus par ses équipes de...
متن کاملStructural Multi-Equation Macroeconomic Models: Identification-Robust Estimation and Fit
Bank of Canada working papers are theoretical or empirical works-in-progress on subjects in economics and finance. The views expressed in this paper are those of the authors. No responsibility for them should be attributed to the Bank of Canada. Association meetings, as well as participants at the Bank of Canada seminar series and the 2007 Carleton University Structural Modeling and Weak Identi...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The Review of Economic Studies
سال: 2019
ISSN: 0034-6527,1467-937X
DOI: 10.1093/restud/rdz028