Zobrazeno 1 - 10
of 31
pro vyhledávání: '"Funovits, Bernd"'
Autor:
Koistinen, Juho, Funovits, Bernd
We propose a new parametrization for the estimation and identification of the impulse-response functions (IRFs) of dynamic factor models (DFMs). The theoretical contribution of this paper concerns the problem of observational equivalence between diff
Externí odkaz:
http://arxiv.org/abs/2202.00310
Autor:
Funovits, Bernd
This comment points out a serious flaw in the article "Gouri\'eroux, Monfort, Renne (2019): Identification and Estimation in Non-Fundamental Structural VARMA Models" with regard to mirroring complex-valued roots with Blaschke polynomial matrices. Mor
Externí odkaz:
http://arxiv.org/abs/2010.02711
Autor:
Scherrer, Wolfgang, Funovits, Bernd
We construct rational all-pass matrix functions with real-valued coefficients for mirroring pairs of complex-conjugated determinantal roots of a rational matrix. This problem appears, for example, when proving the spectral factorization theorem, or,
Externí odkaz:
http://arxiv.org/abs/2010.01598
Autor:
Funovits, Bernd
This paper analyses the number of free parameters and solutions of the structural difference equation obtained from a linear multivariate rational expectations model. First, it is shown that the number of free parameters depends on the structure of t
Externí odkaz:
http://arxiv.org/abs/2002.04369
Autor:
Funovits, Bernd
This article deals with parameterisation, identifiability, and maximum likelihood (ML) estimation of possibly non-invertible structural vector autoregressive moving average (SVARMA) models driven by independent and non-Gaussian shocks. In contrast to
Externí odkaz:
http://arxiv.org/abs/2002.04346
Autor:
Funovits, Bernd
This paper analyzes identifiability properties of structural vector autoregressive moving average (SVARMA) models driven by independent and non-Gaussian shocks. It is well known, that SVARMA models driven by Gaussian errors are not identified without
Externí odkaz:
http://arxiv.org/abs/1910.04087
Autor:
Funovits, Bernd, Braumann, Alexander
We generalize well-known results on structural identifiability of vector autoregressive models (VAR) to the case where the innovation covariance matrix has reduced rank. Structural singular VAR models appear, for example, as solutions of rational exp
Externí odkaz:
http://arxiv.org/abs/1910.04096
Autor:
Anderson, Brian D. O., Deistler, Manfred, Felsenstein, Elisabeth, Funovits, Bernd, Koelbl, Lukas, Zamani, Mohsen
Publikováno v:
Econometric Theory, 2016 Aug 01. 32(4), 793-826.
Externí odkaz:
http://www.jstor.org/stable/43947998
Autor:
Funovits, Bernd1,2 (AUTHOR) bernd.funovits@helsinki.fi, Braumann, Alexander3 (AUTHOR)
Publikováno v:
Journal of Time Series Analysis. Jul2021, Vol. 42 Issue 4, p431-441. 11p.