Sant'Anna School of Advanced Studies, Pisa (Italy)

Topics in Macroeconometrics - Exam

A.Y. 2020/2021

This book presents the general framework of VARMA models and introduces the notion of non-fundamentalness. The problem is assessed using the methodology of Gourieroux, Manfort and Renne (2019), which is illustrated in detail, within the framework of non-Gaussian and independent structural shocks of the corresponding structural model. Simulations and application to real-world data are presented.