Structural Vector Autoregressions With Nonnormal Residuals

@article{Lanne2006StructuralVA,
  title={Structural Vector Autoregressions With Nonnormal Residuals},
  author={Markku Lanne and Helmut Luetkepohl},
  journal={Journal of Business \& Economic Statistics},
  year={2006},
  volume={28},
  pages={159 - 168}
}
In structural vector autoregressive (SVAR) modeling, sometimes the identifying restrictions are insufficient for a unique specification of all shocks. In this paper it is pointed out that specific distributional assumptions can help in identifying the structural shocks. In particular, a mixture of normal distributions is considered as a possible model that can be used in this context. Our model setup enables us to test restrictions which are just-identifying in a standard SVAR framework. The… 
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