Identification and estimation of non-Gaussian structural vector autoregressions

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• 作者：Markku Lanne^a ; ^b ; ^{markku.lanne@helsinki.fi} ; Mika Meitz^a ; ^{mika.meitz@helsinki.fi} ; Pentti Saikkonen^c ; ^{pentti.saikkonen@helsinki.fi}
• 关键词：C32 ; C51 ; E52
• 刊名：Journal of Econometrics
• 出版年：2017
• 出版时间：February 2017
• 年：2017
• 卷：196
• 期：2
• 页码：288-304
• 全文大小：699 K
• 卷排序：196

文摘

Conventional structural vector autoregressive (SVAR) models with Gaussian errors are not identified, 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, identified and leads to essentially unique impulse responses. Building upon this result, we introduce an identification 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 find a negative impact of a contractionary monetary policy shock on financial markets, and clearly reject the commonly employed recursive identifying restrictions.