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Persistent link: https://www.econbiz.de/10014448648
We revisit the generalized method of moments (GMM) estimation of the non-Gaussian structural vector autoregressive (SVAR) model. It is shown that in the n-dimensional SVAR model, global and local identification of the contemporaneous impact matrix is achieved with as few as n^2+n(n-1)/2 suitably...
Persistent link: https://www.econbiz.de/10013214740