Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/286560 
Year of Publication: 
2022
Citation: 
[Journal:] SERIEs - Journal of the Spanish Economic Association [ISSN:] 1869-4195 [Volume:] 13 [Issue:] 1 [Year:] 2022 [Pages:] 429-474
Publisher: 
Springer, Heidelberg
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 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.
Subjects: 
Co-kurtosis
Co-skewness
Covariance
Finite normal mixtures
Normality tests
Pseudo-maximum likelihood estimators
Structural vector autoregressions
JEL: 
C32
C46
C52
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.