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

• Tác giả: Bernd Funovits
• Ngôn ngữ: eng
• Ký hiệu phân loại: 842.83 French drama
• Thông tin xuất bản: 2020
• Bộ sưu tập: Metadata
• ID: 165325

Tóm tắt

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