An exact maximum likelihood method is developed for the estimation of parameters in a non-Gaussian nonlinear log-density function that depends on a latent Gaussian dynamic process with long-memory properties. Our method relies on the method of importance sampling and on a linear Gaussian...

All parameters in structural vector autoregressive (SVAR) models are locally identified when the structural shocks are independent and follow non-Gaussian distributions. Unfortunately, standard inference methods that exploit such features of the data for identification fail to yield correct...