3 citations · 6 across the 7 of their papers we have counts for
7 papers
Estimation of Impulse-Response Functions with Dynamic Factor Models: A New Parametrization
Juho Koistinen, Bernd Funovits
We propose a new parametrization for the estimation and identification of the impulse-response functions (IRFs) of dynamic factor models (DFMs). The theoretical contribution of thi…
Comment on Gouriéroux, Monfort, Renne (2019): Identification and Estimation in Non-Fundamental Structural VARMA Models
Bernd Funovits
This comment points out a serious flaw in the article "Gouriéroux, Monfort, Renne (2019): Identification and Estimation in Non-Fundamental Structural VARMA Models" with regard to m…
All-Pass Functions for Mirroring Pairs of Complex-Conjugated Roots of Rational Matrix Functions
Wolfgang Scherrer, Bernd Funovits
We construct rational all-pass matrix functions with real-valued coefficients for mirroring pairs of complex-conjugated determinantal roots of a rational matrix. This problem appea…
The Dimension of the Set of Causal Solutions of Linear Multivariate Rational Expectations Models
Bernd Funovits
This paper analyses the number of free parameters and solutions of the structural difference equation obtained from a linear multivariate rational expectations model. First, it is…
Identifiability and Estimation of Possibly Non-Invertible SVARMA Models: A New Parametrisation
Bernd Funovits
This article deals with parameterisation, identifiability, and maximum likelihood (ML) estimation of possibly non-invertible structural vector autoregressive moving average (SVARMA…
Identification and Estimation of SVARMA models with Independent and Non-Gaussian Inputs
Bernd Funovits
This paper analyzes identifiability properties of structural vector autoregressive moving average (SVARMA) models driven by independent and non-Gaussian shocks. It is well known, t…