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.
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