Authors: Keweloh, Alexander Sascha
Title: A generalized method of moments estimator for structural vector autoregressions based on higher moments
Language (ISO): en
Abstract: I propose a generalized method of moments estimator for structural vector autoregressions with non-Gaussian shocks. The shocks are identified by exploiting information contained in higher moments of the data. Extending the standard identification approach, which relies on the shocks' covariance, to the shocks' coskewness and cokurtosis allows to identify the simultaneous interaction without any further restrictions. I analyze the estimator's performance depending on the co-moments used for identification and the shocks' degree of non-Gaussianity. Using the coskewness for identification already yields reliable estimates in small samples with mildly skewed shocks while using the cokurtosis requires a large excess kurtosis and a large sample. Finally, the estimator is used in an empirical application to analyze the simultaneous interaction between oil and stock prices.
Subject Headings: structural vector autoregression
independent component analysis
generalized method of moments
Issue Date: 2018
Appears in Collections:Sonderforschungsbereich (SFB) 823

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