Comment on Gouri\'eroux, Monfort, Renne (2019): Identification and Estimation in Non-Fundamental Structural VARMA Models
Econometrics
2020-10-07 v1
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.
Keywords
Cite
@article{arxiv.2010.02711,
title = {Comment on Gouri\'eroux, Monfort, Renne (2019): Identification and Estimation in Non-Fundamental Structural VARMA Models},
author = {Bernd Funovits},
journal= {arXiv preprint arXiv:2010.02711},
year = {2020}
}