Moment Targeted Structural Innovations

Konferenzbeitrag

Structural innovations are typically hidden and often identified by means of a-priori economic reasoning. Under multivariate Gaussian model innovations there is no loss measure available to distinguish between particular identifying restrictions and rotations thereof. Based on a non Gaussian copula distribution framework, this paper proposes a loss statistic that can be used to discriminate between alternative identifying assumptions on the basis of higher order moment characteristics. The merits of Moment Targeted Structural Innovations are illustrated by means of Monte Carlo simulations and real data applications to bivariate systems of US stock prices and total factor productivity and of international breakeven inflation rates.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Beiträge zur Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie - Session: Advances in Time Series Analysis ; No. B6-V3

Classification and Topics

• Classification: Wirtschaft ; Semiparametric and Nonparametric Methods: General ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Single Equation Models; Single Variables: General
• Subject: Structural innovations ; copula distribution ; identifying assumptions

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Herwartz, Helmut
• Event: Veröffentlichung
• (who): Verein für Socialpolitik
• (where): Frankfurt a. M.
• (when): 2010

Further information

• Handle: http://hdl.handle.net/10419/37427
• Last update: 10.03.2025, 11:44 AM CET