发帖
雷达卡
摘要翻译：
该评论指出了“Gouri\'eroux，Monfort，Renne(2019):非基本结构VARMA模型中的识别和估计”一文关于用Blaschke多项式矩阵镜像复值根的一个严重缺陷。此外，本文还讨论了对于截面维数大于2和次数大于1的向量移动平均(VMA)多项式矩阵，如果Blaschke变换的处理不受限制，该方法的非可行性。
---
英文标题：
《Comment on Gouri\'eroux, Monfort, Renne (2019): Identification and
Estimation in Non-Fundamental Structural VARMA Models》
---
作者：
Bernd Funovits
---
最新提交年份：
2020
---
分类信息：
一级分类：Economics 经济学
二级分类：Econometrics 计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
--
---
英文摘要：
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.
---
PDF链接：
https://arxiv.org/pdf/2010.02711
京公网安备 11010802022788号
