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- W3123852743 abstract "This paper analyzes identifiability properties of structural vector autoregressive moving average (SVARMA) models driven by independent and non-Gaussian shocks. It is well known, that SVARMA models driven by Gaussian errors are not identified without imposing further identifying restrictions on the parameters. Even in reduced form and assuming stability and invertibility, vector autoregressive moving average models are in general not identified without requiring certain parameter matrices to be non-singular. Independence and non-Gaussianity of the shocks is used to show that they are identified up to permutations and scalings. In this way, typically imposed identifying restrictions are made testable. Furthermore, we introduce a maximum-likelihood estimator of the non-Gaussian SVARMA model which is consistent and asymptotically normally distributed." @default.
- W3123852743 created "2021-02-01" @default.
- W3123852743 creator A5085951876 @default.
- W3123852743 date "2019-01-01" @default.
- W3123852743 modified "2023-09-27" @default.
- W3123852743 title "Identification and Estimation of SVARMA models with Independent and Non-Gaussian Inputs" @default.
- W3123852743 hasPublicationYear "2019" @default.
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