Identification of VIRFs
Posted: Tue Jan 05, 2021 3:14 pm
Dear Tom,
I have a question related to the identification of the shocks within an VIRF analysis as in Hafner and Herwatz (2006).
As far as I understand it correctly, the shocks have to be independent and non-normal to be unique.
If these two conditions have to be met, in addition to a non-normality test, shouldn't independence of the residuals resulting from the BEKK model be tested?
Could you give me a suggestion of a procedure that tests the independence between the residulas resulting from the BEKK model?
In the literature I just see normality tests and univariate tests, but no tests that test for joint independence of the elements of the residual vector.
Thank you in advance
Kind regards
Jules
I have a question related to the identification of the shocks within an VIRF analysis as in Hafner and Herwatz (2006).
As far as I understand it correctly, the shocks have to be independent and non-normal to be unique.
If these two conditions have to be met, in addition to a non-normality test, shouldn't independence of the residuals resulting from the BEKK model be tested?
Could you give me a suggestion of a procedure that tests the independence between the residulas resulting from the BEKK model?
In the literature I just see normality tests and univariate tests, but no tests that test for joint independence of the elements of the residual vector.
Thank you in advance
Kind regards
Jules