SMU SOE Online Seminar (Apr 30, 2021, 9am-10.30am): Refining Set-Identification in VARs through Independence

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ABSTRACT Identification in VARs has traditionally mainly relied on second moments. Some researchers have considered using higher moments as well, but there are concerns about whether that is robust. We propose refining existing identification schemes by intersecting the traditional confidence intervals with a region that rules out shocks whose higher moments significantly depart from independence. This approach does not assume that higher moments help with identification; it is robust to weak identification. It works well in simulations, but yields only modest gains in empirical applications. These results vindicate a cautious approach to exploiting higher moments. Click here to view the CV.		This seminar will be held virtually via Zoom. A confirmation email with the Zoom details will be sent to the registered email by 29 April 2021.
		PRESENTER Jonathan Wright Johns Hopkins University
		RESEARCH FIELDS Econometrics Empirical Macroeconomics Empirical Finance
		DATE: 30 April 2021 (Friday)
		TIME: 9.00am - 10.30am