Identification based on higher moments
Author
Abstract
Suggested Citation
DOI: 10.47004/wp.cem.2023.0324
Download full text from publisher
References listed on IDEAS
- Davis, Richard & Ng, Serena, 2023. "Time series estimation of the dynamic effects of disaster-type shocks," Journal of Econometrics, Elsevier, vol. 235(1), pages 180-201.
- Emanuele Bacchiocchi & Luca Fanelli, 2015. "Identification in Structural Vector Autoregressive Models with Structural Changes, with an Application to US Monetary Policy," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 77(6), pages 761-779, December.
- Milunovich George & Yang Minxian, 2013. "On Identifying Structural VAR Models via ARCH Effects," Journal of Time Series Econometrics, De Gruyter, vol. 5(2), pages 117-131, May.
- 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.
- Markku Lanne & Jani Luoto, 2020. "Identification of Economic Shocks by Inequality Constraints in Bayesian Structural Vector Autoregression," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(2), pages 425-452, April.
- José Luis Montiel Olea & Carolin Pflueger, 2013. "A Robust Test for Weak Instruments," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(3), pages 358-369, July.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Jetro Anttonen & Markku Lanne & Jani Luoto, 2024. "Statistically identified structural VAR model with potentially skewed and fat‐tailed errors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(3), pages 422-437, April.
- 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).
- 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.
- Lütkepohl, Helmut & Netšunajev, Aleksei, 2017. "Structural vector autoregressions with heteroskedasticity: A review of different volatility models," Econometrics and Statistics, Elsevier, vol. 1(C), pages 2-18.
- Sascha A. Keweloh, 2023. "Uncertain Short-Run Restrictions and Statistically Identified Structural Vector Autoregressions," Papers 2303.13281, arXiv.org, revised Apr 2024.
- Fernando Broner & Daragh Clancy & Aitor Erce & Alberto Martin, 2022.
"Fiscal Multipliers and Foreign Holdings of Public Debt [When Should You Adjust Standard Errors for Clustering?],"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 89(3), pages 1155-1204.
- Fernando Broner & Daragh Clancy & Alberto Martin & Aitor Erce, 2017. "Fiscal multipliers and foreign holdings of public debt," Economics Working Papers 1610, Department of Economics and Business, Universitat Pompeu Fabra, revised Apr 2021.
- Fernando Broner & Daragh Clancy & Alberto Martin & Aitor Erce, 2018. "Fiscal multipliers and foreign holdings of public debt," Working Papers 30, European Stability Mechanism.
- Fernando Broner & Daragh Clancy & Alberto Martin & Aitor Erce, 2018. "Fiscal Multipliers and Foreign Holdings of Public Debt," Working Papers 1040, Barcelona School of Economics.
- Clancy, Daragh & Martin, Alberto & Broner, Fernando & Erce, Aitor, 2019. "Fiscal multipliers and foreign holdings of public debt," Working Paper Series 2255, European Central Bank.
- Broner, Fernando & Clancy, Daragh & Erce, Aitor & MartÃn, Alberto, 2018. "Fiscal Multipliers and Foreign Holdings of Public Debt," CEPR Discussion Papers 12960, C.E.P.R. Discussion Papers.
- Ilona Babenko & Benjamin Bennett & John M Bizjak & Jeffrey L Coles & Jason J Sandvik, 2023. "Clawback Provisions and Firm Risk," The Review of Corporate Finance Studies, Society for Financial Studies, vol. 12(2), pages 191-239.
- Adrian Nicholas Gachet, 2022. "Help Me Help You? Populism and Distributive Politics in Ecuador," Economics Discussion Paper Series 2205, Economics, The University of Manchester.
- Born, Benjamin & D'Ascanio, Francesco & Müller, Gernot & Pfeifer, Johannes, 2019.
"Mr. Keynes meets the Classics: Government Spending and the Real Exchange Rate,"
CEPR Discussion Papers
14073, C.E.P.R. Discussion Papers.
- Benjamin Born & Francesco D’Ascanio & Gernot J. Müller & Johannes Pfeifer, 2021. "Mr. Keynes Meets the Classics: Government Spending and the Real Exchange Rate," ifo Working Paper Series 352, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
- Chen, Zhuo & He, Zhiguo & Liu, Chun, 2020.
"The financing of local government in China: Stimulus loan wanes and shadow banking waxes,"
Journal of Financial Economics, Elsevier, vol. 137(1), pages 42-71.
- Zhuo Chen & Zhiguo He & Chun Liu, 2017. "The Financing of Local Government in China: Stimulus Loan Wanes and Shadow Banking Waxes," NBER Working Papers 23598, National Bureau of Economic Research, Inc.
- Helmut Lütkepohl & Thore Schlaak, 2018.
"Choosing Between Different Time‐Varying Volatility Models for Structural Vector Autoregressive Analysis,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 80(4), pages 715-735, August.
- Lütkepohl, Helmut & Schlaak, Thore, 2018. "Choosing Between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, issue 4, pages 715-735.
- Helmut Lütkepohl & Thore Schlaak, 2017. "Choosing between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis," Discussion Papers of DIW Berlin 1672, DIW Berlin, German Institute for Economic Research.
- Timothy Tyler Brown & Vishnu Murthy, 2020. "Do public health activities pay for themselves? The effect of county‐level public health expenditures on county‐level public assistance medical care benefits in California," Health Economics, John Wiley & Sons, Ltd., vol. 29(10), pages 1220-1230, October.
- Bensch, Gunther & Gotz, Gunnar & Peters, Jörg, 2020.
"Effects of rural electrification on employment: A comment on Dinkelman (2011),"
Ruhr Economic Papers
840, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
- Bensch, Gunther & Gotz, Gunnar & Peters, Jörg, 2020. "Effects of Rural Electrification on Employment: A Comment on Dinkelman (2011)," MetaArXiv zhn9b, Center for Open Science.
- Andrea Boitani & Salvatore Perdichizzi & Chiara Punzo, 2022.
"Nonlinearities and expenditure multipliers in the Eurozone [Tales of fiscal adjustment],"
Industrial and Corporate Change, Oxford University Press and the Associazione ICC, vol. 31(2), pages 552-575.
- Andrea Boitani & Salvatore Perdichizzi & Chiara Punzo, 2020. "Nonlinearities and expenditure multipliers in the Eurozone," DISCE - Working Papers del Dipartimento di Economia e Finanza def089, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
- Costa-Font, Joan & Vilaplana-Prieto, Cristina, 2022.
"Health shocks and housing downsizing: How persistent is ‘ageing in place’?,"
Journal of Economic Behavior & Organization, Elsevier, vol. 204(C), pages 490-508.
- Joan Costa-i-Font & Cristina Vilaplana-Prieto, 2022. "Health Shocks and Housing Downsizing: How Persistent Is 'Ageing in Place'?," CESifo Working Paper Series 10022, CESifo.
- Costa-Font, Joan & Vilaplana-Prieto, Cristina, 2022. "Health Shocks and Housing Downsizing: How Persistent Is 'Ageing in Place'?," IZA Discussion Papers 15636, Institute of Labor Economics (IZA).
- Costa-Font, Joan & Vilaplana, Cristina, 2022. "Health shocks and housing downsizing: how persistent is ‘ageing in place’?," LSE Research Online Documents on Economics 116941, London School of Economics and Political Science, LSE Library.
- Berbée, Paul & Brücker, Herbert & Garloff, Alfred & Sommerfeld, Katrin, 2022.
"The labor demand effects of refugee immigration: Evidence from a natural experiment,"
ZEW Discussion Papers
22-069, ZEW - Leibniz Centre for European Economic Research.
- Berbée, Paul & Brücker, Herbert & Garloff, Alfred & Sommerfeld, Katrin, 2022. "The Labor Demand Effects of Refugee Immigration: Evidence from a Natural Experiment," IZA Discussion Papers 15833, Institute of Labor Economics (IZA).
- Andreas Freytag & Miriam Kautz & Moritz Wolf, 2024.
"Chinese aid and democratic values in Latin America,"
Public Choice, Springer, vol. 198(3), pages 531-593, March.
- Andreas Freytag & Miriam Kautz, 2022. "Chinese Aid and Democratic Values in Latin America," Jena Economics Research Papers 2022-006, Friedrich-Schiller-University Jena.
- Andreas Freytag & Miriam Kautz, 2022. "Chinese Aid and Democratic Values in Latin America," CESifo Working Paper Series 9815, CESifo.
- Claire Giordano, 2023.
"Revisiting the real exchange rate misalignment‐economic growth nexus via the across‐sector misallocation channel,"
Review of International Economics, Wiley Blackwell, vol. 31(4), pages 1329-1384, September.
- Claire Giordano, 2022. "Revisiting the real exchange rate misalignment-economic growth nexus via the across-sector misallocation channel," Temi di discussione (Economic working papers) 1385, Bank of Italy, Economic Research and International Relations Area.
- Herwartz, Helmut & Lange, Alexander & Maxand, Simone, 2019. "Statistical identification in SVARs - Monte Carlo experiments and a comparative assessment of the role of economic uncertainties for the US business cycle," University of Göttingen Working Papers in Economics 375, University of Goettingen, Department of Economics.
- Giovanni Angelini & Emanuele Bacchiocchi & Giovanni Caggiano & Luca Fanelli, 2019.
"Uncertainty across volatility regimes,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(3), pages 437-455, April.
- Giovanni Angelini & Emanuele Bacchiocchi & Giovanni Caggiano & Luca Fanelli, 2017. "Uncertainty Across Volatility Regimes," CESifo Working Paper Series 6799, CESifo.
- Angelini, Giovanni & Bacchiocchi, Emanuele & Caggiano, Giovanni & Fanelli, Luca, 2017. "Uncertainty across volatility regimes," Bank of Finland Research Discussion Papers 35/2017, Bank of Finland.
More about this item
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2024-03-04 (Econometrics)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:azt:cemmap:03/24. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Dermot Watson (email available below). General contact details of provider: https://edirc.repec.org/data/ifsssuk.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.