{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,9,9]],"date-time":"2026-09-09T03:53:32Z","timestamp":1788926012937,"version":"build-2803163510"},"reference-count":99,"publisher":"Oxford University Press (OUP)","issue":"4","license":[{"start":{"date-parts":[[2019,5,17]],"date-time":"2019-05-17T00:00:00Z","timestamp":1558051200000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/academic.oup.com\/journals\/pages\/open_access\/funder_policies\/chorus\/standard_publication_model"}],"funder":[{"name":"ACPR"},{"name":"Risk Foundation: Regulation and Systemic Risks"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[2020,7,1]]},"abstract":"<jats:title>Abstract<\/jats:title><jats:p>The basic assumption of a structural vector autoregressive moving average (SVARMA) model is that it is driven by a white noise whose components are uncorrelated or independent and can be interpreted as economic shocks, called \u201cstructural\u201d shocks. When the errors are Gaussian, independence is equivalent to non-correlation and these models face two identification issues. The first identification problem is \u201cstatic\u201d and is due to the fact that there is an infinite number of linear transformations of a given random vector making its components uncorrelated. The second identification problem is \u201cdynamic\u201d and is a consequence of the fact that, even if a SVARMA admits a non-invertible moving average (MA) matrix polynomial, it may feature the same second-order dynamic properties as a VARMA process in which the MA matrix polynomials are invertible (the fundamental representation). The aim of this article is to explain that these difficulties are mainly due to the Gaussian assumption, and that both identification challenges are solved in a non-Gaussian framework if the structural shocks are assumed to be instantaneously and serially independent. We develop new parametric and semi-parametric estimation methods that accommodate non-fundamentalness in the MA dynamics. The functioning and performances of these methods are illustrated by applications conducted on both simulated and real data.<\/jats:p>","DOI":"10.1093\/restud\/rdz028","type":"journal-article","created":{"date-parts":[[2019,5,8]],"date-time":"2019-05-08T03:33:07Z","timestamp":1557286387000},"page":"1915-1953","source":"Crossref","is-referenced-by-count":32,"title":["Identification and Estimation in Non-Fundamental Structural VARMA Models"],"prefix":"10.1093","volume":"87","author":[{"given":"Christian","family":"Gouri\u00e9roux","sequence":"first","affiliation":[{"name":"University of Toronto, Toulouse School of Economics, CREST"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Alain","family":"Monfort","sequence":"additional","affiliation":[{"name":"CREST, Banque de France"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Jean-Paul","family":"Renne","sequence":"additional","affiliation":[{"name":"Faculty of Business and Economics, University of Lausanne"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"286","published-online":{"date-parts":[[2019,5,17]]},"reference":[{"key":"2021041020420848700_B1","doi-asserted-by":"crossref","first-page":"716","DOI":"10.1109\/TAC.1974.1100705","article-title":"A New Look at the Statistical Model Identification","volume":"19","author":"AKAIKE,","year":"1974","journal-title":"IEEE Transactions on Automatic Control"},{"key":"2021041020420848700_B2","doi-asserted-by":"crossref","first-page":"16","DOI":"10.1111\/j.1751-5823.2011.00131.x","article-title":"Non-Fundamentalness in Structural Econometric Models: A Review","volume":"79","author":"ALESSI,","year":"2011","journal-title":"International Statistical Review"},{"key":"2021041020420848700_B3","doi-asserted-by":"crossref","first-page":"49","DOI":"10.1198\/073500104000000271","article-title":"Tests for Skewness, Kurtosis, and Normality for Time Series Data","volume":"23","author":"BAI,","year":"2005","journal-title":"Journal of Business & Economic Statistics"},{"key":"2021041020420848700_B4","doi-asserted-by":"crossref","first-page":"1343","DOI":"10.1257\/aer.102.4.1343","article-title":"Information, Animal Spirits, and the Meaning of Innovations in Consumer Confidence","volume":"102","author":"BARSKY,","year":"2012","journal-title":"American Economic Review"},{"key":"2021041020420848700_B5","doi-asserted-by":"crossref","first-page":"151","DOI":"10.1017\/S0266466600011117","article-title":"A Unified Theory of Consistent Estimation for Parametric Models","volume":"1","author":"BATES,","year":"1985","journal-title":"Econometric Theory"},{"key":"2021041020420848700_B6","doi-asserted-by":"crossref","DOI":"10.3386\/w21466","article-title":"When is Nonfundamentalness in VARs a Real Problem? 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