Comment on Gouri 'eroux, Monfort, Renne (2019): Identification and\n Estimation in Non-Fundamental Structural VARMA Models

2020/10/06 by Bernd Funovits, Funovits, Bernd
Economics, Econometrics and Finance · Mathematics · #Advanced Statistical Methods and Models #Applied mathematics #Econometrics (econ.EM) #Estimation #FOS: Economics and business #Identification (biology) #Mathematical analysis #Mathematics #Mirroring #Polynomial #Sociology #Statistical and numerical algorithms #Transformation (genetics) #econ.EM

paper · pdf · doi:10.48550/arxiv.2010.02711

arxiv created 2020/10/06 · openalex publication_date 2020/10/06 · arxiv updated 2020/10/07 · openalex created_date 2021/06/22 · openalex updated_date 2026/07/28

Abstract

This comment points out a serious flaw in the article "Gouri 'eroux, Monfort,\nRenne (2019): Identification and Estimation in Non-Fundamental Structural VARMA\nModels" with regard to mirroring complex-valued roots with Blaschke polynomial\nmatrices. Moreover, the (non-) feasibility of the proposed method (if the\nhandling of Blaschke transformation were not prohibitive) for cross-sectional\ndimensions greater than two and vector moving average (VMA) polynomial matrices\nof degree greater than one is discussed.\n

Citations

• Identifiability and Estimation of Possibly Non-Invertible SVARMA Models: A New Parametrisation

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