Identification of structural VAR models via independent component analysis: a performance evaluation study

DOI10.1016/j.jedc.2022.104530OpenAlexW4296478665MaRDI QIDQ2102887

Alessio Moneta, Gianluca Pallante

Publication date: 12 December 2022

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2022.104530

zbMATH Keywords

identificationindependent component analysisnon-Gaussianitystructural VARimpulse response functionsgeneralized normal distribution

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items

Locally robust inference for non-Gaussian linear simultaneous equations models

Uses Software

• ProDenICA
• pgnorm

Cites Work

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