Identification of structural vector autoregressions through higher unconditional moments

This paper pursues two objectives. First, we determine the sufficient condition for local, statistical identification of SVAR processes through the third and fourth unconditional moments of the reduced-form innovations. Our findings provide novel insights when the entire system is not identified, as...

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Vydané v:	Journal of econometrics Ročník 225; číslo 1; s. 27 - 46
Hlavný autor:	Guay, Alain
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	Amsterdam Elsevier B.V 01.11.2021 Elsevier Sequoia S.A
Predmet:	Bootstrap procedure Econometrics Estimating techniques Excess kurtosis Identification Identification condition Innovations Kurtosis Property Rank test Regression analysis Skewness statistical analysis Structural vector autoregression Symmetry C32 Identification condition C12 Skewness Bootstrap procedure Rank test Structural vector autoregression C51 Excess kurtosis
ISSN:	0304-4076, 1872-6895
On-line prístup:	Získať plný text
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