Bernd Funovits, Alexander Braumann
arXiv 9 Oct 2019 · Econometrics · publishedJournal of Time Series Analysis (2020) · 3 citations (OpenAlex)
arXiv:1910.04096 · PDF · DOI · OpenAlex · Extracted main text
We generalize well-known results on structural identifiability of vector autoregressive models (VAR) to the case where the innovation covariance matrix has reduced rank. Structural singular VAR models appear, for example, as solutions of rational expectation models where the number of shocks is usually smaller than the number of endogenous variables, and as an essential building block in dynamic factor models. We show that order conditions for identifiability are misleading in the singular case and provide a rank condition for identifiability of the noise parameters. Since the Yule-Walker equations may have multiple solutions, we analyze the effect of restrictions on the system parameters on over- and underidentification in detail and provide easily verifiable conditions.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Kilian, L. and H. Lütkepohl (2017) Structural Vector Autoregressive Analysis | 1.000 | 6 | 3 | 100% |
| 2 | Rothenberg, T. J. (1971, May) (1971) Identification in Parametric Models | 0.737 | 3 | 3 | 67% |
| 3 | Chen, W., B. D. O. Anderson, M. Deistler, and A. Filler (2011) Solutions of Yule-Walker equations for Singular AR processes | 0.737 | 3 | 2 | 100% |
| 4 | Deistler, M., A. Filler, and B. Funovits (2011) AR Systems and AR Processes: The Singular Case | 0.737 | 3 | 2 | 100% |
| Deistler | unmatched citation key Deistler | 0.644 | 4 | 1 | 100% |
| Lippi | unmatched citation key Lippi | 0.644 | 4 | 1 | 100% |
| Anderson | unmatched citation key Anderson | 0.585 | 3 | 1 | 100% |
| Forni | unmatched citation key Forni | 0.585 | 3 | 1 | 100% |
| and Reichlin | unmatched citation key and Reichlin | 0.585 | 3 | 1 | 100% |
| 10 | Lütkepohl, H (2005) New Introduction to Multiple Time Series Analysis | 0.511 | 2 | 2 | 50% |
Showing the top 10 of 64 scored citations. 5 of these could not be matched to a bibliography entry, so only the citation key is shown.