Statistical Inference for Independent Component Analysis: Application to Structural VAR Models

By Christian Gouriéroux, Alain Monfort, Jean-Paul Renne. 2017

133 citations recorded by the source corpus.

Subfields: Analytical Chemistry, Electrochemistry, Signal Processing

View Paper: https://www.semanticscholar.org/paper/98c06bab2075ce0bc512b6cf3d1f20611f344648

Citations in the corpus

• GMM Estimation of Non-Gaussian Structural Vector Autoregression (2019, unknown): “The PML estimators of Gouri´eroux, Monfort, and Renne (2017) are, to some extent, robust with respect to misspecification of the error distributions, but our approach is more generic in that the selection of optimal moment conditions can always be based on conventional moment selection criteria…”