Identification and estimation of structural vector autoregressive models via LU decomposition
利用 LU 分解识别与估计结构向量自回归模型
Structural vector autoregressive (SVAR) models are widely used to analyze the simultaneous relationships between multiple time-dependent data. Various statistical inference methods have been studied to overcome the identification problems of SVAR models. However, most of these methods impose strong assumptions for innovation processes such as the uncorrelation of components. In this study, we relax the assumptions for innovation processes and propose an identification method…