Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/37427
Authors: 
Herwartz, Helmut
Year of Publication: 
2010
Series/Report no.: 
Beiträge zur Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie - Session: Advances in Time Series Analysis B6-V3
Abstract: 
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.
Subjects: 
Structural innovations
copula distribution
identifying assumptions
JEL: 
C14
C22
C20
Document Type: 
Conference Paper

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