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Titel
A generalized method of moments estimator for structural vector autoregressions based on higher moments / Sascha Alexander Keweloh
VerfasserKeweloh, Sascha Alexander
ErschienenDortmund : Universitätsbibliothek Dortmund, September 2019
Ausgabe
Elektronische Ressource
Umfang1 Online-Ressource (39 Seiten) : Diagramme
SerieDiscussion paper ; Nr. 36/2018
URNurn:nbn:de:hbz:6:2-125637 
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A generalized method of moments estimator for structural vector autoregressions based on higher moments [0.69 mb]
Zusammenfassung

I propose a generalized method of moments estimator for structural vector autoregressions with independent and non-Gaussian shocks. The shocks are identi ed 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 nite sample properties of the estimator and apply it to illustrate the simultaneous interaction between economic activity, oil and stock prices.

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