Identification of structural vector autoregressions through higher unconditional moments

Nonlinear Forecasts and Impulse Responses for Causal-Noncausal (S)VAR Models

“…Alternatively, the mixed (S)VAR model can be consistently estimated without any parametric assumptions on the error distribution by using either the (Generalized) Covariance (GCov) estimator [Gourieroux, Jasiak (2017), ( 2021) for the GCov estimator and Gourieroux, Monfort, Renne (2017), ( 2020)], moment estimators [see, Guay (2021), Lanne, Luoto (2021)], or minimum distance estimators based on cumulant spectral density of order 3 and 4 [Velasco, Lobato (2019), Velasco (2022)].…”

Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions

“…Statistical identi…cation of the parameters of a structural vector autoregression (Svar) through independent non-Gaussian shocks is becoming increasingly popular after Lanne, Meitz and Saikkonen (2017) and Gouriéroux, Monfort and Renne (2017). 1 A selected list of recent papers that exploit the non-Gaussian features of the structural shocks includes Lanne and Lütkepohl (2010), Hyvärinen et al (2013), Moneta et al (2013), Capasso and Moneta (2016), Herwartz and Plödt (2016), Guay and Normandin (2018), Herwartz (2018), Bernoth and Herwartz (2019), Coad and Grassano (2019), Herwartz (2019), Lanne and Luoto (2019), Puonti (2019), Tank, Fox and Shojaie (2019), Ermolov (2019, 2020), Gouriéroux, Monfort and Renne (2020) and Maxand (2020).…”

Uncertain Prior Economic Knowledge and Statistically Identified Structural Vector Autoregressions

“…More recently, identification approaches based on additional structure imposed on the stochastic properties of the structural shocks have been put forward in the literature. These approaches use properties like time-varying volatility (see, e.g., Rigobon (2003), Lanne et al (2010), Lütkepohl and Netšunajev (2017), Lewis (2021), or Bertsche and Braun (2022)) or the non-Gaussianity and independence of the shocks (see, e.g., Matteson and Tsay (2017), Herwartz and Plödt (2016), Gouriéroux et al (2017), Lanne et al (2017), Lanne and Luoto (2021), Keweloh (2021b), Guay (2021), or Lanne et al (2022)) to ensure identification without any imposed structure on the interaction of the shocks. In this study, I use information in third and fourth moments of the shocks to identify a non-Gaussian SVAR.…”