Specification tests for non-Gaussian structural vector Abstract JEL Codes: C32, C52. autoregressions

• Dante Amengual ^[1] ; Gabriele Fiorentini ^[2] ; Enrique Sentana ^[1]
  1. [1] CEMFI
  2. [2] Università di Firenze
• Localización: Documentos de Trabajo ( CEMFI ), Nº. 12 (CEMFI Working Paper No. 2212 December 2022), 2022
• Idioma: inglés
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• Resumen

  • We propose specification tests for independent component analysis and structural vector autoregressions that assess the assumed cross-sectional independence of the non-Gaussian shocks. Our tests effectively compare their joint cumulative distribution with the product of their marginals at discrete or continuous grids of values for its arguments, the latter yielding a consistent test. We explicitly consider the sampling variability from using consistent estimators to compute the shocks. We study the finite sample size of our tests in several simulation exercises, with special attention to resampling procedures. We also show that they have non-negligible power against a variety of empirically plausible alternatives.