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 independent and 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 covariance, to the coskewness and cokurtosis allows to identify and estimate the simultaneous interaction without any further restrictions. I analyze the finite sample properties of the estimator and apply it to illustrate the simultaneous interaction between economic activity, oil and stock prices.
Subject Headings: non-gaussian
independence
identifcation
oil prices
stock returns
URI: http://hdl.handle.net/2003/38224
http://dx.doi.org/10.17877/DE290R-20203
Issue Date: 2019-09-11
Replaces: http://hdl.handle.net/2003/37837
Appears in Collections:Sonderforschungsbereich (SFB) 823

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