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Comment on Gouri\'eroux, Monfort, Renne (2019): Identification and Estimation in Non-Fundamental Structural VARMA Models

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  • Bernd Funovits

Abstract

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. 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.

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  • Bernd Funovits, 2020. "Comment on Gouri\'eroux, Monfort, Renne (2019): Identification and Estimation in Non-Fundamental Structural VARMA Models," Papers 2010.02711, arXiv.org.
    • Handle: RePEc:arx:papers:2010.02711
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    Cited by:

    1. Funovits, Bernd, 2024. "Identifiability and estimation of possibly non-invertible SVARMA Models: The normalised canonical WHF parametrisation," Journal of Econometrics, Elsevier, vol. 241(2).

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