| Autor: |
Keweloh, Sascha Alexander |
| Přispěvatelé: |
Linnemann, Ludger, Jentsch, Carsten |
| Jazyk: |
angličtina |
| Rok vydání: |
2022 |
| Předmět: |
|
| DOI: |
10.17877/de290r-22913 |
| Popis: |
This dissertation is concerned with the estimation of the simultaneous interaction in non- Gaussian SVAR models using generalized method of moments (GMM) estimators with higher- order moment conditions. The dissertation contributes to the literature by providing identification results using higher-order moment conditions derived from the assumption of independent structural shocks, by proposing modifications to the GMM estimation procedure to improve the small sample performance in the presence of higher-order moment conditions, and by developing a framework to combine traditional restriction based approaches with data-driven identification and estimation approaches. |
| Databáze: |
OpenAIRE |
| Externí odkaz: |
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