Browsing BI Open by Author "Mesters, Geert"

Now showing items 1-2 of 2

    • Locally robust inference for non-Gaussian linear simultaneous equations models 

      Lee, Adam; Mesters, Geert (Journal article; Peer reviewed, 2024)
      All parameters in linear simultaneous equations models can be identified (up to permutation and sign) if the underlying structural shocks are independent and at most one of them is Gaussian. Unfortunately, existing inference ...

    • 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 ...