Comment on Gouriéroux, Monfort, Renne (2019): Identification and Estimation in Non-Fundamental Structural VARMA Models

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This comment points out a serious flaw in the article "Gouriéroux, 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.
Originalspråkengelska
TidskriftReview of Economic Studies
ISSN0034-6527
StatusInsänt - 6 okt 2020
MoE-publikationstypA1 Tidskriftsartikel-refererad

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