Identification and Estimation of Non-Gaussian Structural Vector Autoregressions

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http://hdl.handle.net/10138/175471

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Lanne , M , Meitz , M & Saikkonen , P 2017 , ' Identification and Estimation of Non-Gaussian Structural Vector Autoregressions ' , Journal of Econometrics , vol. 196 , no. 2 , pp. 288-304 . https://doi.org/10.1016/j.jeconom.2016.06.002

Title: Identification and Estimation of Non-Gaussian Structural Vector Autoregressions
Author: Lanne, Markku; Meitz, Mika; Saikkonen, Pentti
Contributor: University of Helsinki, Department of Political and Economic Studies (2010-2017)
University of Helsinki, HECER
University of Helsinki, Department of Mathematics and Statistics
Date: 2017-02
Language: eng
Number of pages: 17
Belongs to series: Journal of Econometrics
ISSN: 0304-4076
URI: http://hdl.handle.net/10138/175471
Abstract: Conventional structural vector autoregressive (SVAR) models with Gaussian errors are not identified, and additional identifying restrictions are needed in applied work. We show that the Gaussian case is an exception in that a SVAR model whose error vector consists of independent non-Gaussian components is, without any additional restrictions, identified and leads to essentially unique impulse responses. Building upon this result, we introduce an identification scheme under which the maximum likelihood estimator of the parameters of the non-Gaussian SVAR model is consistent and asymptotically normally distributed. As a consequence, additional economic identifying restrictions can be tested. In an empirical application, we find a negative impact of a contractionary monetary policy shock on financial markets, and clearly reject the commonly employed recursive identifying restrictions.
Subject: 112 Statistics and probability
511 Economics
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