Identifying Structural Vector Autoregression via Leptokurtic Economic Shocks

DOI10.1080/07350015.2022.2134872MaRDI QIDQ6190744

Ke-yan Liu, Jani Luoto, Markku Lanne

Publication date: 6 March 2024

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

zbMATH Keywords

generalized method of momentsstructural vector autoregressionnon-Gaussian time seriesgasoline taxcarbon dioxide emissions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

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• Large Sample Properties of Generalized Method of Moments Estimators
• Identification and estimation of non-Gaussian structural vector autoregressions
• Information in generalized method of moments estimation and entropy-based moment selection
• Statistical inference for independent component analysis: application to structural VAR models
• 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
• Identification of structural vector autoregressions through higher unconditional moments
• Inference in structural vector autoregressions identified with an external instrument
• Automatic Lag Selection in Covariance Matrix Estimation
• Blind separation of mixture of independent sources through a quasi-maximum likelihood approach
• Identifying Shocks via Time-Varying Volatility
• Identification and Estimation in Non-Fundamental Structural VARMA Models
• Structural Vector Autoregressive Analysis

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