Identifying Structural Vector Autoregression via Leptokurtic Economic Shocks

DOI10.1080/07350015.2022.2134872MaRDI QIDQ6190744zbMATH OpenFDO

Authors Markku Lanne, Ke-yan Liu, Jani Luoto

Publication date 6 March 2024

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1080/07350015.2022.2134872

zbMATH Keywords

carbon dioxide emissionsgasoline taxgeneralized method of momentsnon-Gaussian time seriesstructural vector autoregression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

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• Identifying shocks via time-varying volatility
• Inference in structural vector autoregressions identified with an external instrument
• Information in generalized method of moments estimation and entropy-based moment selection
• Large Sample Properties of Generalized Method of Moments Estimators
• Statistical inference for independent component analysis: application to structural VAR models
• Structural vector autoregressive analysis
• The asymptotic properties of GMM and indirect inference under second-order identification
• The large sample behaviour of the generalized method of moments estimator in misspecified models

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