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GMM Estimation of Non-Gaussian Structural Vector Autoregression
9 references·14 citing·50 second hop
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References

  • 1994Automatic Lag Selection in Covariance Matrix Estimation3,242 cited
  • 2016Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound1,840 cited
  • 1996Finite-Sample Properties of Some Alternative GMM Estimators1,277 cited
  • 2017Structural Vector Autoregressive Analysis1,057 cited
  • 2006Generalized Method of Moments257 cited
  • 1988Sources of Business Cycle Fluctuations224 cited
  • 2016Identification and estimation of non-Gaussian structural vector autoregressions192 cited
  • 2015Inference in VARs with conditional heteroskedasticity of unknown form140 cited
  • 1998Structural Models of the Liquidity Effect114 cited

Cited by

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  • 2021The Positive Influences of Renewable Energy Consumption on Financial Development and Economic Growth85 cited
  • n.d.Has the Business Cycle Changed and Why?69 cited
  • 2024Estimating the Fed’s unconventional policy shocks50 cited
  • 2020Identification of Structural Vector Autoregressions by Stochastic Volatility44 cited
  • 2020Identification of structural vector autoregressions through higher unconditional moments

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40 cited
  • 2022SVAR Identification from Higher Moments: Has the Simultaneous Causality Problem Been Solved?38 cited
  • 2020A Generalized Method of Moments Estimator for Structural Vector Autoregressions Based on Higher Moments32 cited
  • 2019Identification of Economic Shocks by Inequality Constraints in Bayesian Structural Vector Autoregression31 cited
  • 2022Identifying Structural Vector Autoregression via Leptokurtic Economic Shocks20 cited
  • 2023Refining set-identification in VARs through independence17 cited
  • 2023Point estimation in sign-restricted SVARs based on independence criteria with an application to rational bubbles16 cited
  • 2021Identifying Shocks via Time-Varying Volatility14 cited
  • 2024Statistically identified structural VAR model with potentially skewed and fat‐tailed errors12 cited