Gouriéroux, Christian; Monfort, Alain - Centre de Recherche en Économie et Statistique … - 2014
The basic assumption of a structural VARMA model (SVARMA) is that it is driven by a white noise whose components are uncorrelated (or independent) and are interpreted as economic shocks, called "structural" shocks. These models have to face two kinds of identification problems. The first...
