Identification and Estimation of SVARMA models with Independent and Non-Gaussian Inputs

This paper analyzes identifiability properties of structural vector autoregressive moving average (SVARMA) models driven by independent and non-Gaussian shocks. It is well known, that SVARMA models driven by Gaussian errors are not identified without imposing further identifying restrictions on the...

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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 01.01.2019
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Summary:This paper analyzes identifiability properties of structural vector autoregressive moving average (SVARMA) models driven by independent and non-Gaussian shocks. It is well known, that SVARMA models driven by Gaussian errors are not identified without imposing further identifying restrictions on the parameters. Even in reduced form and assuming stability and invertibility, vector autoregressive moving average models are in general not identified without requiring certain parameter matrices to be non-singular. Independence and non-Gaussianity of the shocks is used to show that they are identified up to permutations and scalings. In this way, typically imposed identifying restrictions are made testable. Furthermore, we introduce a maximum-likelihood estimator of the non-Gaussian SVARMA model which is consistent and asymptotically normally distributed.