Persistence is not Independence: A structural Credibility Protocol for Distribution based Recovery in VARLiNGAM
Abstract
VAR-LiNGAM recovers a contemporaneous structure from reduced-form innovations under mutual independence of the underlying structural shocks. Recovery itself and bootstrap stability of the recovered edges are natural post-estimation outputs, but neither directly assesses the identifying independence assumption. We organize post-recovery validation as an ordered, non-compensatory protocol with four layers (reduced-form admissibility, distributional informativeness, independence support and edge persistence) and establish, by a constructive population result, a Monte Carlo experiment under known ground truth and a firm-level Compustat application, that the last two layers are non-nested: an edge can persist under resampling while the recovered shocks remain dependent, and independence can be supported while the leading recovered edge fails to persist. Independence support is classified operationally by a block-permutation dHSIC diagnostic on the recovered shocks, with mutual information as a continuous measure of residual dependence and tail co-exceedance as a complementary extreme-dependence diagnostic. Empirically, the conjunction of no detected independence violation and a reportable persistent leading edge occurs only in a small subset.
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BibTeX
@misc{nguyen2026persistence,
title = {{Persistence is not Independence: A structural Credibility Protocol for Distribution based Recovery in VARLiNGAM}},
author = {Tu Anh Doan Nguyen and Alessandro Bucciol},
howpublished = {arXiv},
year = {2026},
month = oct,
doi = {10.48550/arxiv.2610.25238},
eprint = {2610.25238},
archivePrefix = {arXiv},
url = {https://arxiv.org/abs/2610.25238},
}
RIS
TY - UNPB
TI - Persistence is not Independence: A structural Credibility Protocol for Distribution based Recovery in VARLiNGAM
AU - Tu Anh Doan Nguyen
AU - Alessandro Bucciol
PY - 2026
DA - 2026/10/18
PB - arXiv
DO - 10.48550/arxiv.2610.25238
UR - https://arxiv.org/abs/2610.25238
AB - VAR-LiNGAM recovers a contemporaneous structure from reduced-form innovations under mutual independence of the underlying structural shocks. Recovery itself and bootstrap stability of the recovered edges are natural post-estimation outputs, but neither directly assesses the identifying independence assumption. We organize post-recovery validation as an ordered, non-compensatory protocol with four layers (reduced-form admissibility, distributional informativeness, independence support and edge persistence) and establish, by a constructive population result, a Monte Carlo experiment under known ground truth and a firm-level Compustat application, that the last two layers are non-nested: an edge can persist under resampling while the recovered shocks remain dependent, and independence can be supported while the leading recovered edge fails to persist. Independence support is classified operationally by a block-permutation dHSIC diagnostic on the recovered shocks, with mutual information as a continuous measure of residual dependence and tail co-exceedance as a complementary extreme-dependence diagnostic. Empirically, the conjunction of no detected independence violation and a reportable persistent leading edge occurs only in a small subset.
ER -