svars: An R package for data-driven identification in multivariate time series analysis

A Lange, B Dalheimer, H Herwartz… - Journal of Statistical …, 2021‏ - jstatsoft.org
Structural vector autoregressive (SVAR) models are frequently applied to trace the
contemporaneous linkages among (macroeconomic) variables back to an interplay of …

An overview of properties and extensions of FOBI

K Nordhausen, J Virta - Knowledge-Based Systems, 2019‏ - Elsevier
Abstract Recently, Spurek, Tabor, Struksi and Smieja (2018) suggested an independent
component analysis method that is obtained via a generalized eigenvalue decomposition …

Systematically characterizing the roles of E3-ligase family members in inflammatory responses with massively parallel Perturb-seq

K Geiger-Schuller, B Eraslan, O Kuksenko, KK Dey… - bioRxiv, 2023‏ - biorxiv.org
ABSTRACT E3 ligases regulate key processes, but many of their roles remain unknown.
Using Perturb-seq, we interrogated the function of 1,130 E3 ligases, partners and substrates …

Asymptotic and bootstrap tests for subspace dimension

K Nordhausen, H Oja, DE Tyler - Journal of Multivariate Analysis, 2022‏ - Elsevier
Many linear dimension reduction methods proposed in the literature can be formulated
using an appropriate pair of scatter matrices. The eigen-decomposition of one scatter matrix …

Asymptotic and bootstrap tests for the dimension of the non-Gaussian subspace

K Nordhausen, H Oja, DE Tyler… - IEEE Signal Processing …, 2017‏ - ieeexplore.ieee.org
Dimension reduction is often a preliminary step in the analysis of large data sets. The so-
called non-Gaussian component analysis searches for a projection onto the non-Gaussian …

[HTML][HTML] On the usage of joint diagonalization in multivariate statistics

K Nordhausen, A Ruiz-Gazen - Journal of Multivariate Analysis, 2022‏ - Elsevier
Scatter matrices generalize the covariance matrix and are useful in many multivariate data
analysis methods, including well-known principal component analysis (PCA), which is …

[HTML][HTML] Identification of independent structural shocks in the presence of multiple Gaussian components

S Maxand - Econometrics and Statistics, 2020‏ - Elsevier
Several recently developed identification techniques for structural VAR models are based on
the assumption of non-Gaussianity. So-called independence based identification provides …

[PDF][PDF] The link between monetary policy, stock prices, and house prices-evidence from a statistical identification approach

H Herwartz, S Maxand, H Rohloff - International Journal of Central Banking, 2022‏ - ijcb.org
The role of asset prices in the business cycle and their effects on consumer prices have
received considerable attention from academics and policymakers alike. Specifically …

Data‐driven identification in SVARs—When and how can statistical characteristics be used to unravel causal relationships?

H Herwartz, A Lange, S Maxand - Economic Inquiry, 2022‏ - Wiley Online Library
Structural vector autoregressive analysis aims to trace the contemporaneous linkages
among multiple economic time series back to underlying orthogonal structural shocks …

Proxy SVAR identification of monetary policy shocks-Monte Carlo evidence and insights for the US

H Herwartz, H Rohloff, S Wang - Journal of Economic Dynamics and …, 2022‏ - Elsevier
In empirical macroeconomics, proxy structural vector autoregressive models (SVARs) have
become a prominent path towards detecting monetary policy (MP) shocks. However, in …