A Generalized Method of Moments Estimator for Structural Vector Autoregressions Based on Higher Moments

Sascha Alexander Keweloh

Journal of Business & Economic Statistics, 2021, vol. 39, issue 3, 772-782

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 the simultaneous interaction to be identified and estimated 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. Supplementary materials for this article are available online.

Date: 2021
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Citations: View citations in EconPapers (16)

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DOI: 10.1080/07350015.2020.1730858

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