Chen, Bin; Choi, Jinho; Escanciano, Juan Carlos - In: Quantitative economics : QE ; journal of the … 8 (2017) 1, pp. 149-180
We propose a test for invertibility or fundamentalness of structural vector autoregressive moving average models generated by non-Gaussian independent and identically distributed structural shocks. We prove that in these models and un- der some regularity conditions the Wold innovations are a...