1997 Reports
Identification and estimation of structural VAR and MARMA models
In this paper we give an integrated presentation of the theory of structural VAR and MARMA (multivariate autoregressive moving average) models. We determine the conditions under which such models are identified, and give the limiting distribution of the resulting estimators. In additions, we impose the requisite restrictions by means of LaGrange multipliers, and provide easily implementable test for overidentifying restrictions. Moreover, it is argued that a just identified structural VAR model does not convey and information on the economic structure of the VAR. Finally, this development is extended to structural MARMA models.
Subjects
Files
- econ_9697_020.pdf application/pdf 1.25 MB Download File
More About This Work
- Academic Units
- Economics
- Publisher
- Department of Economics, Columbia University
- Series
- Department of Economics Discussion Papers, 9697-20
- Published Here
- March 3, 2011
Notes
May 1997