Browsing BI Open by Author "Hoesch, Lukas"
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Locally Robust Inference for Non-Gaussian SVAR models
Lee, Adam; Mesters, Geert; Hoesch, Lukas (Journal article; Peer reviewed, 2024)All parameters in structural vector autoregressive (SVAR) models are locally identified when the structural shocks are independent and follow non‐Gaussian distributions. Unfortunately, standard inference methods that exploit ...