GMM Estimation of Non-Gaussian Structural Vector Autoregression
From MaRDI portal
Publication:6617737
DOI10.1080/07350015.2019.1629940zbMATH Open1547.62808MaRDI QIDQ6617737
Publication date: 11 October 2024
Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Large Sample Properties of Generalized Method of Moments Estimators
- Identification and estimation of non-Gaussian structural vector autoregressions
- Fourth moments and independent component analysis
- Information in generalized method of moments estimation and entropy-based moment selection
- Statistical inference for independent component analysis: application to structural VAR models
- Testing for weak identification in possibly nonlinear models
- Inference in VARs with conditional heteroskedasticity of unknown form
- The asymptotic properties of GMM and indirect inference under second-order identification
- The large sample behaviour of the generalized method of moments estimator in misspecified models
- Inference in Nearly Nonstationary SVAR Models With Long-Run Identifying Restrictions
- Hypothesis Testing with Efficient Method of Moments Estimation
- Automatic Lag Selection in Covariance Matrix Estimation
- Blind separation of mixture of independent sources through a quasi-maximum likelihood approach
- A Consistent Method for the Selection of Relevant Instruments
- Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
- Spurious Inference in Reduced-Rank Asset-Pricing Models
- Identifying Shocks via Time-Varying Volatility
- Structural Vector Autoregressive Analysis
Related Items (3)
Locally robust inference for non-Gaussian SVAR models ⋮ Identification of vector autoregressive models with nonlinear contemporaneous structure ⋮ Specification tests for non-Gaussian structural vector autoregressions
This page was built for publication: GMM Estimation of Non-Gaussian Structural Vector Autoregression
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6617737)
