A generalized method of moments estimator for structural vector autoregressions based on higher moments

dc.contributor.author	Keweloh, Alexander Sascha
dc.date.accessioned	2019-09-11T15:31:03Z
dc.date.available	2019-09-11T15:31:03Z
dc.date.issued	2019-09-11
dc.description.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.	en
dc.identifier.uri	http://hdl.handle.net/2003/38224
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-20203
dc.language.iso	en	de
dc.relation.ispartofseries	Discussion Paper / SFB823;36/2018
dc.relation.replaces	http://hdl.handle.net/2003/37837
dc.subject	non-gaussian	en
dc.subject	independence	en
dc.subject	identifcation	en
dc.subject	oil prices	en
dc.subject	stock returns	en
dc.subject.ddc	310
dc.subject.ddc	330
dc.subject.ddc	620
dc.title	A generalized method of moments estimator for structural vector autoregressions based on higher moments	en
dc.type	Text	de
dc.type.publicationtype	workingPaper	de
dcterms.accessRights	open access
eldorado.dnb.deposit	true	de
eldorado.secondarypublication	false	de

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