Moment tests of independent components
Gabriele Fiorentini and
Working Papers from CEMFI
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)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
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Journal Article: Moment tests of independent components (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:cmf:wpaper:wp2021_2102
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