Testing Shock Independence in Gaussian Structural VARs

Dante Amengual, Gabriele Fiorentini and Enrique Sentana

No 20975, CEPR Discussion Papers from Centre for Economic Policy Research

Abstract: We propose specification tests for Gaussian SVAR models identified with short- and long-run restrictions that assess the theoretical justification of the chosen identification scheme by checking the independence of the structural shocks. We consider both moment tests that focus on their coskewness and cokurtosis and contingency table tests with discrete and continuous grids. Our simulations confirm the finite sample reliability of resampling versions of our proposals, and their power against interesting alternatives. We also apply them to two influential studies: Kilian (2009) with short-run restrictions in oil markets and Blanchard and Quah (1989) with long-run ones for the aggregate economy.

Keywords: Coskewness; Cokurtosis; Moment tests; Oil market; Pseudo maximum likelihood estimators (search for similar items in EconPapers)
JEL-codes: C32 C52 E32 Q41 Q43 (search for similar items in EconPapers)
Date: 2025-12
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