Endogenously nonlinear SVARs have parameters and shocks identified up to orthogonal transformation under weak conditions, so linear identification methods extend directly with unchanged restrictions.
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A modified Breitung variance ratio test for the number of common trends in cointegrated nonlinear CKSVAR models, supported by a new LLN result for stable nonstationary autoregressive processes via dual linear process approximation.
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Identification in (Endogenously) Nonlinear SVARs Is Easier Than You Think
Endogenously nonlinear SVARs have parameters and shocks identified up to orthogonal transformation under weak conditions, so linear identification methods extend directly with unchanged restrictions.
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Inference on Common Trends in a Cointegrated Nonlinear SVAR
A modified Breitung variance ratio test for the number of common trends in cointegrated nonlinear CKSVAR models, supported by a new LLN result for stable nonstationary autoregressive processes via dual linear process approximation.