Francesco Cordoni

Scuola Normale Superiore

Piazza dei Cavalieri, 7

Pisa, 56126

Italy

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Scholarly Papers (1)

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Identification of Singular and Noisy Structural VAR Models: The Collapsing-ICA Approach

Number of pages: 42 Posted: 09 Jul 2019 Last Revised: 15 Mar 2020
Francesco Cordoni and Fulvio Corsi
Scuola Normale Superiore and University of Pisa - Department of Economics
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Abstract:

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Structural vector autoregressive model, Identification, Independent component analysis, Pseudo maximum likelihood, Overdetermined ICA, Noisy ICA, Impulse response functions