Moment tests of independent components

Artikel

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: SERIEs - Journal of the Spanish Economic Association ; ISSN: 1869-4195 ; Volume: 13 ; Year: 2022 ; Issue: 1 ; Pages: 429-474

Classification and Topics

• Classification: 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
• Subject: Co-kurtosis ; Co-skewness ; Covariance ; Finite normal mixtures ; Normality tests ; Pseudo-maximum likelihood estimators ; Structural vector autoregressions

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Amengual, Dante ; Fiorentini, Gabriele ; Sentana, Enrique
• Event: Veröffentlichung
• (who): Springer
• (where): Heidelberg
• (when): 2022

Further information

• DOI: doi:10.1007/s13209-021-00247-3
• Last update: 10.03.2025, 11:43 AM CET