Quantitative Economics
Journal Of The Econometric Society
Edited by: Stéphane Bonhomme • Print ISSN: 1759-7323 • Online ISSN: 1759-7331
Edited by: Stéphane Bonhomme • Print ISSN: 1759-7323 • Online ISSN: 1759-7331
Quantitative Economics: Mar, 2017, Volume 8, Issue 1
Bin Chen, Jinho Choi, Juan Carlos Escanciano
We propose a test for invertibility or fundamentalness of structural vector autoregressive moving average models generated by non‐Gaussian independent and identically distributed structural shocks. We prove that in these models and under some regularity conditions the Wold innovations are a martingale difference sequence (mds) if and only if the structural shocks are fundamental. This simple but powerful characterization suggests an empirical strategy to assess invertibility. We propose a test based on a generalized spectral density to check for the mds property of the Wold innovations. This approach does not require the specification and estimation of the economic agent's information flows or the identification and estimation of the structural parameters and the noninvertible roots. Moreover, the proposed test statistic uses all lags in the sample and it has a convenient asymptotic N(0,1) distribution under the null hypothesis of invertibility, and hence, it is straightforward to implement. In case of rejection, the test can be further used to check if a given set of additional variables provides sufficient informational content to restore invertibility. A Monte Carlo study is conducted to examine the finite‐sample performance of our test. Finally, the proposed test is applied to two widely cited works on the effects of fiscal shocks by Blanchard and Perotti (2002) and Ramey (2011).
Fundamental representations generalized spectrum identification invertible moving average C5 C32 E62
March 5, 2024
The terms of the Editors of the Econometric Society's three journals end June 30, 2025. We are pleased to announce the incoming Editors and to thank the outgoing Editors for their excellent and continuing service.
Econometrica: Since 2019, Guido Imbens has served as the 14th Editor of Econometrica. On July 1, 2025, Marina Halac will become the Editor.
Quantitative Economics: Stéphane Bonhomme has been the Editor of Quantitative Economics since 2021. His successor will be Bernard Salanié.
Theoretical Economics: The Editor of Theoretical Economics since 2021 has been Simon Board. Taking over for him in July 2025 will be Federico Echenique.
Guido, Stéphane, and Simon have been outstanding Editors. We are grateful to them for the work they have done and will continue to do, and we look forward to further congratulating them next year. We believe Marina, Bernard, and Federico will be outstanding successors and we thank them in advance for their service.
Finally, we are grateful to Larry Samuelson for chairing all three search committees, and we thank the search committee members for their hard and fruitful work:
Econometrica: Christian Dustmann, Lars Hansen, Alessandro Lizzeri, George Mailath, Ariel Pakes, Helene Rey, and Elie Tamer.
QE: Kate Ho, Michael Keane, Felix Kubler, Whitney Newey, and Frank Schorfheide.
TE: Jeff Ely, Johannes Horner, Gilat Levy, Meg Meyer, and Ran Spiegler.