GMM Estimation of Non-Gaussian Structural Vector Autoregression
GMM Estimation of Non-Gaussian Structural Vector Autoregression
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Full title
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Publisher
Alexandria: Taylor & Francis
Journal title
Language
English
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Publisher
Alexandria: Taylor & Francis
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Scope and Contents
Contents
We consider estimation of the structural vector autoregression (SVAR) by the generalized method of moments (GMM). Given non-Gaussian errors and a suitable set of moment conditions, the GMM estimator is shown to achieve local identification of the structural shocks. The optimal set of moment conditions can be found by well-known moment selection cri...
Alternative Titles
Full title
GMM Estimation of Non-Gaussian Structural Vector Autoregression
Authors, Artists and Contributors
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Record Identifier
TN_cdi_crossref_primary_10_1080_07350015_2019_1629940
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_crossref_primary_10_1080_07350015_2019_1629940
Other Identifiers
ISSN
0735-0015
E-ISSN
1537-2707
DOI
10.1080/07350015.2019.1629940
