Authors: | Keweloh, Sascha Alexander |
Title: | Structural vector autoregressions and information in moments beyond the variance |
Language (ISO): | en |
Abstract: | 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. |
Subject Headings: | Structural vector autoregression Identification Non-Gaussian Independent GMM |
Subject Headings (RSWK): | Vektor-autoregressives Modell Nichtgaußscher Prozess |
URI: | http://hdl.handle.net/2003/41066 http://dx.doi.org/10.17877/DE290R-22913 |
Issue Date: | 2022 |
Appears in Collections: | Fachgebiet Applied Economics |
Files in This Item:
File | Description | Size | Format | |
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Dissertation.pdf | DNB | 10.28 MB | Adobe PDF | View/Open |
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