Structural vector autoregressions and information in moments beyond the variance
| dc.contributor.advisor | Linnemann, Ludger | |
| dc.contributor.author | Keweloh, Sascha Alexander | |
| dc.contributor.referee | Jentsch, Carsten | |
| dc.date.accepted | 2022-08-02 | |
| dc.date.accessioned | 2022-09-08T05:32:37Z | |
| dc.date.available | 2022-09-08T05:32:37Z | |
| dc.date.issued | 2022 | |
| dc.description.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. | de |
| dc.identifier.uri | http://hdl.handle.net/2003/41066 | |
| dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-22913 | |
| dc.language.iso | en | de |
| dc.subject | Structural vector autoregression | de |
| dc.subject | Identification | de |
| dc.subject | Non-Gaussian | de |
| dc.subject | Independent | de |
| dc.subject | GMM | de |
| dc.subject.ddc | 330 | |
| dc.subject.rswk | Vektor-autoregressives Modell | de |
| dc.subject.rswk | Nichtgaußscher Prozess | de |
| dc.title | Structural vector autoregressions and information in moments beyond the variance | de |
| dc.type | Text | de |
| dc.type.publicationtype | doctoralThesis | de |
| dcterms.accessRights | open access | |
| eldorado.secondarypublication | false | de |