Comment on Gouri\\'eroux, Monfort, Renne (2019): Identification and Estimation in Non-Fundamental Structural VARMA Models

This comment points out a serious flaw in the article "Gouri\\'eroux, Monfort, Renne (2019): Identification and Estimation in Non-Fundamental Structural VARMA Models" with regard to mirroring complex-valued roots with Blaschke polynomial matrices. Moreover, the (non-) feasibility of t...

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Bibliographic Details
Published inIDEAS Working Paper Series from RePEc
Main Author Funovits, Bernd
Format Paper
LanguageEnglish
Published St. Louis Federal Reserve Bank of St. Louis 01.01.2020
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Summary:This comment points out a serious flaw in the article "Gouri\\'eroux, Monfort, Renne (2019): Identification and Estimation in Non-Fundamental Structural VARMA Models" with regard to mirroring complex-valued roots with Blaschke polynomial matrices. Moreover, the (non-) feasibility of the proposed method (if the handling of Blaschke transformation were not prohibitive) for cross-sectional dimensions greater than two and vector moving average (VMA) polynomial matrices of degree greater than one is discussed.