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T1  - Identification and Estimation of Non-Gaussian Structural Vector Autoregressions 
SN  -  /  
UR  - http://hdl.handle.net/10138/175471 
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A1  - Lanne, Markku; Meitz, Mika; Saikkonen, Pentti 
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PB  -  
Y1  - 2017 
LA  - eng 
AB  - 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 like... 
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KW  - 112 Statistics and probability; 511 Economics 
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