We propose a test for invertibility or fundamentalness of structural vector autoregressive moving average models generated by non-Gaussian independent and identically distributed structural shocks. We prove that in these models and un- der some regularity conditions the Wold innovations are a...

Let H₀(X) be a function that can be nonparametrically estimated. Suppose E [Y&7CX]=F₀[X⊤β₀, H₀(X)]. Many models fit this framework, including latent index models with an endogenous regressor and nonlinear models with sample selection. We show that the vector β₀ and unknown function F₀ are...