4 papers
A fully nonlinear structural vector autoregressive model identified via independent innovation analysis
Savi Virolainen
We develop a fully nonlinear structural vector autoregressive framework in which the contemporaneous structural mapping may be nonlinear and non-additive. Identification is achieve…
Identification by non-Gaussianity in structural threshold and smooth transition vector autoregressive models
Savi Virolainen
We show that structural smooth transition vector autoregressive models are statistically identified if the shocks are mutually independent and at most one of them is Gaussian. This…
A Gaussian smooth transition vector autoregressive model: An application to the macroeconomic effects of severe weather shocks
Markku Lanne, Savi Virolainen
We introduce a new smooth transition vector autoregressive model with a Gaussian conditional distribution and transition weights that, for a th order model, depend on the full d…
Gaussian and Student's mixture vector autoregressive model with application to the effects of the Euro area monetary policy shock
Savi Virolainen
A new mixture vector autoregressive model based on Gaussian and Student's distributions is introduced. As its mixture components, our model incorporates conditionally homoskeda…