Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Keweloh, Sascha Alexander | - |
dc.contributor.author | Hetzenecker, Stephan | - |
dc.date.accessioned | 2021-11-28T16:11:05Z | - |
dc.date.available | 2021-11-28T16:11:05Z | - |
dc.date.issued | 2021 | - |
dc.identifier.uri | http://hdl.handle.net/2003/40578 | - |
dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-22447 | - |
dc.description.abstract | This study combines block-recursive restrictions with non-Gaussian and mean independent shocks to derive identifying and overidentifying higher-order moment conditions for structural vector autoregressions. We show that overidentifying higher-order moments can contain additional information and increase the efficiency of the estimation. In particular, we prove that in the non-Gaussian recursive SVAR higher-order moment conditions are relevant and therefore, the frequently applied estimator based on the Cholesky decomposition is inefficient. Even though incorporating information in valid higher-order moments is asymptotically efficient, including many redundant and potentially even invalid moment conditions renders standard SVAR GMM estimators unreliable in finite samples. We apply a LASSO-type GMM estimator to select the relevant and valid higher-order moment conditions, increasing finite sample precision. A Monte Carlo experiment and an application to quarterly U.S. data illustrate the improved performance of the proposed estimator. | en |
dc.language.iso | en | de |
dc.relation.ispartofseries | Discussion Paper / SFB823;26/2021 | - |
dc.subject | SVAR | en |
dc.subject | monetary policy | en |
dc.subject | LASSO | en |
dc.subject | block-recursive | en |
dc.subject | non-Gaussianity | en |
dc.subject | efficiency | en |
dc.subject.ddc | 310 | - |
dc.subject.ddc | 330 | - |
dc.subject.ddc | 620 | - |
dc.title | Efficiency gains in structural vector autoregressions by selecting informative higher-order moment conditions | de |
dc.type | Text | de |
dc.type.publicationtype | workingPaper | de |
dcterms.accessRights | open access | - |
eldorado.secondarypublication | false | de |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
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DP_2621_SFB823_Keweloh_Hetzenecker_Neu.pdf | DNB | 1.31 MB | Adobe PDF | View/Open |
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