Specification tests for non-Gaussian structural vector autoregressions

Dante Amengual (), Gabriele Fiorentini and Enrique Sentana
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Dante Amengual: CEMFI, Centro de Estudios Monetarios y Financieros, https://www.cemfi.es/

Working Papers from CEMFI

Abstract: We propose specification tests for independent component analysis and structural vector autoregressions that assess the assumed cross-sectional independence of the non-Gaussian shocks. Our tests effectively compare their joint cumulative distribution with the product of their marginals at discrete or continuous grids of values for its arguments, the latter yielding a consistent test. We explicitly consider the sampling variability from using consistent estimators to compute the shocks. We study the finite sample size of our tests in several simulation exercises, with special attention to resampling procedures. We also show that they have non-negligible power against a variety of empirically plausible alternatives.

Keywords: Consistest tests; copulas; finite normal mixtures; independence tests; pseudo maximum likelihood estimators. (search for similar items in EconPapers)
JEL-codes: C32 C52 (search for similar items in EconPapers)
Date: 2022-12
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Specification tests for non-Gaussian structural vector autoregressions (2024)
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