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Are the shocks obtained from SVAR fundamental?

Author:
Mehdi Hamidi Sahneh  


Issue Date:
2015


Abstract(summary):

This paper provides new conditions under which the shocks recovered from the estimates of structural vector autoregressions are fundamental. I prove that the Wold innovations are martingale difference if and only if the model is fundamental. I propose a test based on a generalized spectral density to check the martingale difference property of the Wold innovations. A Monte Carlo experiment examines the finite-sample performance of the test.


Page:
35


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