Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/284151 
Year of Publication: 
2024
Series/Report no.: 
cemmap working paper No. CWP03/24
Publisher: 
Centre for Microdata Methods and Practice (cemmap), London
Abstract: 
Identification based on higher moments has drawn increasing theoretical attention and been widely adopted in empirical practice in macroeconometrics in the last two decades. This article reviews two parallel strands of the literature: identification strategies based on heteroskedasticity and strategkes based on non-Gaussianity more generally. I outline the seminal identification results and discuss recent extensions, parametric and non-parametric implementations, and prominent empirical applications. I additionally describe key issues for the adoption of such strategies, including weak identification and interpretability of statistically identified structural shocks. I further outline key areas of ongoing research.
Subjects: 
Modeling
Macroeconometrics
VAR model
Heteroscedasticity
Estimation theory
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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