Estimation of non-Gaussian SVAR models: a pseudo-log-likelihood function approach

DOI10.1080/00949655.2022.2155160OpenAlexW4312180722MaRDI QIDQ6050715

Unnamed Author, Koichi Maekawa

Publication date: 19 September 2023

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2022.2155160

zbMATH Keywords

independent component analysisMonte Carlo experimentsemiparametric statisticsstructural vector autoregressive modelnon-Gaussian distributionpseudo maximum loglikelihood estimator

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Identification and estimation of non-Gaussian structural vector autoregressions
• Statistical inference for independent component analysis: application to structural VAR models
• Information geometry of estimating functions in semi-parametric statistical models
• Effects of US quantitative easing on emerging market economies
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