Springe direkt zu Inhalt

QÖC: Pentti Saikkonen (University of Helsinki)

21.07.2016 | 17:00 c.t.

Identification and estimation of non-Gaussian structural vector autoregressions


Conventional structural vector autoregressive (SVAR) models with Gaussian errors are not identi…ed, and additional identifying restrictions are needed in applied work. We show that the Gaussian case is an exception in that a SVAR model whose error vector consists of independent non-Gaussian components is, without any additional restrictions, identi…ed and leads to essentially unique impulse responses. Building upon this result, we introduce an identi…cation scheme under which the maximum likelihood estimator of the parameters of the non-Gaussian SVAR model is consistent and asymptotically normally distributed. As a consequence, additional economic identifying restrictions can be tested. In an empirical application, we fi…nd a negative impact of a contractionary monetary policy shock on …financial markets, and clearly reject the commonly employed recursive identifying restrictions.

Informationen zur Person

Homepage von Pentti Saikkonen