3 citations · 6 across the 7 of their papers we have counts for
4 papers · 1 filter
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…