EconPapers    
Economics at your fingertips  
 

Moment tests of independent components

Dante Amengual, Gabriele Fiorentini () and Enrique Sentana ()

Working Papers from CEMFI

Abstract: We propose simple specification tests for independent component analysis and structural vector autoregressions with non-Gaussian shocks that check the normality of a single shock and the potential cross-sectional dependence among several of them. Our tests compare the integer (product) moments of the shocks in the sample with their population counterparts. Importantly, we explicitly consider the sampling variability resulting from using shocks computed with consistent parameter estimators. We study the finite sample size of our tests in extensive simulation exercises and discuss some bootstrap procedures. We also show that our tests have non-negligible power against a variety of empirically plausible alternatives.

Keywords: Covariance; co-skewness; co-kurtosis; finite normal mixtures; normality tests; pseudo maximum likelihood estimators; structural vector autoregressions. (search for similar items in EconPapers)
JEL-codes: C32 C46 C52 (search for similar items in EconPapers)
Date: 2021-02
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
https://www.cemfi.es/ftp/wp/2102.pdf (application/pdf)

Related works:
Journal Article: Moment tests of independent components (2022) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cmf:wpaper:wp2021_2102

Access Statistics for this paper

More papers in Working Papers from CEMFI Contact information at EDIRC.
Bibliographic data for series maintained by Araceli Requerey ().

 
Page updated 2022-10-02
Handle: RePEc:cmf:wpaper:wp2021_2102