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

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  • Sascha Alexander Keweloh

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.

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  • Sascha Alexander Keweloh, 2021. "A Generalized Method of Moments Estimator for Structural Vector Autoregressions Based on Higher Moments," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(3), pages 772-782, July.
    • Handle: RePEc:taf:jnlbes:v:39:y:2021:i:3:p:772-782
    DOI: 10.1080/07350015.2020.1730858
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    Cited by:

    1. Sascha A. Keweloh, 2023. "Uncertain Short-Run Restrictions and Statistically Identified Structural Vector Autoregressions," Papers 2303.13281, arXiv.org, revised Apr 2024.
    2. Keweloh, Sascha A. & Hetzenecker, Stephan & Seepe, Andre, 2023. "Monetary policy and information shocks in a block-recursive SVAR," Journal of International Money and Finance, Elsevier, vol. 137(C).
    3. Christis Katsouris, 2023. "Structural Analysis of Vector Autoregressive Models," Papers 2312.06402, arXiv.org, revised Feb 2024.
    4. Arampatzidis, Ioannis & Panagiotidis, Theodore, 2023. "On the identification of the oil-stock market relationship," Economic Modelling, Elsevier, vol. 120(C).
    5. Sascha A. Keweloh, 2023. "Structural Vector Autoregressions and Higher Moments: Challenges and Solutions in Small Samples," Papers 2310.08173, arXiv.org.
    6. Sascha A. Keweloh & Mathias Klein & Jan Pruser, 2023. "Estimating Fiscal Multipliers by Combining Statistical Identification with Potentially Endogenous Proxies," Papers 2302.13066, arXiv.org, revised Feb 2024.
    7. Helmut Herwartz & Simone Maxand & Hannes Rohloff, 2022. "The Link between Monetary Policy, Stock Prices, and House Prices—Evidence from a Statistical Identification Approach," International Journal of Central Banking, International Journal of Central Banking, vol. 18(5), pages 1-53, December.
    8. Herwartz, Helmut & Wang, Shu, 2023. "Point estimation in sign-restricted SVARs based on independence criteria with an application to rational bubbles," Journal of Economic Dynamics and Control, Elsevier, vol. 151(C).

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