Artikel
Moment tests of independent components
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 several simulation exercises and discuss some bootstrap procedures. We also show that our tests have non-negligible power against a variety of empirically plausible alternatives.
- Sprache
-
Englisch
- Erschienen in
-
Journal: SERIEs - Journal of the Spanish Economic Association ; ISSN: 1869-4195 ; Volume: 13 ; Year: 2022 ; Issue: 1 ; Pages: 429-474
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Specific Distributions; Specific Statistics
Model Evaluation, Validation, and Selection
- Thema
-
Co-kurtosis
Co-skewness
Covariance
Finite normal mixtures
Normality tests
Pseudo-maximum likelihood estimators
Structural vector autoregressions
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Amengual, Dante
Fiorentini, Gabriele
Sentana, Enrique
- Ereignis
-
Veröffentlichung
- (wer)
-
Springer
- (wo)
-
Heidelberg
- (wann)
-
2022
- DOI
-
doi:10.1007/s13209-021-00247-3
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Amengual, Dante
- Fiorentini, Gabriele
- Sentana, Enrique
- Springer
Entstanden
- 2022
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