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Estimation of Non-Gaussian SVAR Using Tensor Singular Value Decomposition

Author

Listed:
  • Alain Guay

    (University of Quebec in Montreal)

  • Dalibor Stevanovic

    (University of Quebec in Montreal)

Abstract

This paper introduces a tensor singular value decomposition (TSVD) approach for estimating non-Gaussian Structural Vector Autoregressive (SVAR) models. The proposed methodology applies to both complete and partial identification of structural shocks. The estimation procedure relies on third and/or fourth-order cumulants. We establish the asymptotic distribution of the estimator and conduct a simulation study to evaluate its finite-sample performance. The results demonstrate that the estimator is highly competitive in small samples compared to alternative methods under complete identification. In cases of partial identification, the estimator also exhibits very good performance in small samples. To illustrate the practical relevance of the procedure under partial identification, two empirical applications are presented.

Suggested Citation

  • Alain Guay & Dalibor Stevanovic, 2025. "Estimation of Non-Gaussian SVAR Using Tensor Singular Value Decomposition," Working Papers 25-03, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management, revised Feb 2025.
    • Handle: RePEc:bbh:wpaper:25-03
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    File URL: https://chairemacro.esg.uqam.ca/wp-content/uploads/sites/146/Guay_Stevanovic_TensorSVD_SVAR-4.pdf
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    More about this item

    Keywords

    Non-Gaussian SVAR; tensor decomposition; cumulants;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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