期刊名称：CEMFI Working Papers / Centro de Estudios Monetarios y Financieros, Madrid
出版年度：2021
卷号：2102
语种：English
出版社：Centro de Estudios Monetarios y Financieros, Madrid
摘要：We propose simple specification tests for independent component analysis and structural vector autoregressions with non-Gaussian shocks that check the normality of a single shock and the potential cross-sectional dependence among several of them. Our tests compare the integer (product) moments of the shocks in the sample with their population counterparts. Importantly, we explicitly consider the sampling variability resulting from using shocks computed with consistent parameter estimators. We study the finite sample size of our tests in extensive simulation exercises and discuss some bootstrap procedures. We also show that our tests have non-negligible power against a variety of empirically plausible alternatives.
