STICERD Econometrics Seminar Series
Identification of possibly nonfundamental Structural VARMA models using higher order moments
Carlos Velasco (UC3, Madrid)
Thursday 07 November 2019 14:00 - 15:30
Due to the onging coronavirus outbreak, many of our seminars and public events this year will continue as online seminars. Please check our website listings and Twitter feed @STICERD_LSE for updates.
About this event
We use information from higher order moments to achieve identification of non-Gaussian structural vector autoregressive moving average (SVARMA) models, possibly non-fundamental. We introduce a frequency domain criterion to identify the location of the roots of the lag matrix polynomials based on higher order cumulants dynamics. This information also provides identification on the rotation of the model errors leading to the structural innovations up to sign and permutation. We develop general representations of the higher order spectral density arrays of vector linear processes and describe sufficient conditions for global and local parameter identification that rely on simple rank conditions on the linear dynamics and on moment implications of the independence component assumption on the vector of structural innovations. We generalize previous univariate asymptotic analysis to develop asymptotically normal and efficient estimates exploiting second and higher order dynamics.
STICERD Econometrics seminars are held on Thursdays in term time at 14.00-15.30, ONLINE, unless specified otherwise.
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