Title: Estimating non-causal VAR using all-pass filters
Authors: Bernd Funovits - University of Helsinki (Finland) [presenting]
Abstract: A new estimator for possibly non-causal structural VAR systems driven by non-Gaussian i.i.d. shocks is derived. Since the root location cannot be identified from the second order spectral density, third and fourth order (cumulant) spectral densities are used to conclude on whether the determinantal roots of the AR matrix polynomial are inside or outside the unit circle. Multivariate all-pass filters are used to obtain all possible combinations of root locations (based on an initial estimate). Subsequently, higher order spectra are used to conclude on the root location. Measures of estimation uncertainty are derived through bootstrapping methods. The estimation procedure is implemented in the R-package varAllPass.