Moment tests of independent components

被引：6

作者：

Amengual, Dante ^{[1
]}

Fiorentini, Gabriele ^{[2
,3
]}

Sentana, Enrique ^{[1
]}

机构：

[1] CEMFI, Casado Alisal 5, Madrid 28014, Spain

[2] Univ Firenze, Viale Morgagni 59, I-50134 Florence, Italy

[3] RCEA, Viale Morgagni 59, I-50134 Florence, Italy

来源：

SERIES-JOURNAL OF THE SPANISH ECONOMIC ASSOCIATION | 2022年 / 13卷 / 1-2期

关键词：

Covariance; Co-skewness; Co-kurtosis; Finite normal mixtures; Normality tests; Pseudo-maximum likelihood estimators; Structural vector autoregressions; MAXIMUM-LIKELIHOOD; MONETARY-POLICY; IDENTIFICATION; NORMALITY; MACROECONOMICS; REGRESSION; INFERENCE;

D O I：

10.1007/s13209-021-00247-3

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We propose simple specification tests for independent component analysis and structural vector autoregressions with non-Gaussian shocks that check the normality of a single shock and the potential cross-sectional dependence among several of them. Our tests compare the integer (product) moments of the shocks in the sample with their population counterparts. Importantly, we explicitly consider the sampling variability resulting from using shocks computed with consistent parameter estimators. We study the finite sample size of our tests in several simulation exercises and discuss some bootstrap procedures. We also show that our tests have non-negligible power against a variety of empirically plausible alternatives.

引用

页码：429 / 474

页数：46

共 40 条

[1] Normality tests for latent variables [J].