Autor(en): | Keweloh, Sascha Alexander |
Titel: | Structural vector autoregressions and information in moments beyond the variance |
Sprache (ISO): | en |
Zusammenfassung: | This dissertation is concerned with the estimation of the simultaneous interaction in non- Gaussian SVAR models using generalized method of moments (GMM) estimators with higher- order moment conditions. The dissertation contributes to the literature by providing identification results using higher-order moment conditions derived from the assumption of independent structural shocks, by proposing modifications to the GMM estimation procedure to improve the small sample performance in the presence of higher-order moment conditions, and by developing a framework to combine traditional restriction based approaches with data-driven identification and estimation approaches. |
Schlagwörter: | Structural vector autoregression Identification Non-Gaussian Independent GMM |
Schlagwörter (RSWK): | Vektor-autoregressives Modell Nichtgaußscher Prozess |
URI: | http://hdl.handle.net/2003/41066 http://dx.doi.org/10.17877/DE290R-22913 |
Erscheinungsdatum: | 2022 |
Enthalten in den Sammlungen: | Fachgebiet Applied Economics |
Dateien zu dieser Ressource:
Datei | Beschreibung | Größe | Format | |
---|---|---|---|---|
Dissertation.pdf | DNB | 10.28 MB | Adobe PDF | Öffnen/Anzeigen |
Diese Ressource ist urheberrechtlich geschützt. |
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