serval:BIB_E98DEE4245FC
Identification and Estimation in Non-Fundamental Structural VARMA Models
10.1093/restud/rdz028
Gouriéroux
C.
author
Monfort
A.
author
Renne
J.-P.
author
article
2020-07
The Review of Economic Studies
0034-6527
1467-937X
journal
87
4
1915-1953
The basic assumption of a structural vector autoregressive moving-average (SVARMA) model is that it is driven by a white noise whose components are uncorrelated or independent and can be interpreted as economic shocks, called “structural” shocks. When the errors are Gaussian, independence is equivalent to non-correlation and these models face two identification issues. The first identification problem is “static” and is due to the fact that there is an infinite number of linear transformations of a given random vector making its components uncorrelated. The second identification problem is “dynamic” and is a consequence of the fact that, even if a SVARMA admits a non invertible moving average (MA) matrix polynomial, it may feature the same second-order dynamic properties as a VARMA process in which the MA matrix polynomials are invertible (the fundamental representation). The aim of this paper is to explain that these difficulties are mainly due to the Gaussian assumption, and that both identification challenges are solved in a non-Gaussian framework if the structural shocks are assumed to be instantaneously and serially independent. We develop new parametric and semi-parametric estimation methods that accommodate non-fundamentalness in the moving average dynamics. The functioning and performances of these methods are illustrated by applications conducted on both simulated and real data.
Economics and Econometrics
eng
60_published
peer-reviewed
University of Lausanne
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