autoregressive models. We suggest a likelihood ratio test for over-identification in a sub-system and derive the asymptotics for …

identification and estimation of VARMA models. This paper examines if VAR models are good enough for forecasting macroeconomic … variables. To answer this question, we extend the Tiao and Tsay identification procedure for VARMA models and proposes a … complete VARMA modelling procedure. We then examine the properties of this identification procedure through simulation and used …

This lecture explores conditions under which there is identification of the impact on an outcome of exogenous variation … identification but set identification is possible if an additional covariation restriction is introduced. Relaxing other restrictions …

In simultaneous equation (SE) contexts, nuisance parameter, weak instruments and identification problems severely … instrumental variable (IV) based criteria fails to achieve size control, especially (but not exclusively) under near non-identification …

This paper is about identification and estimation in a triangular nonparametric structural model with instrumental … variables and non-additive errors. Identification and estimation is based on a control function consisting of the conditional …