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Identification based on higher moments

Lewis, Daniel; (2024) Identification based on higher moments. (cemmap Working Paper CWP03/24). Centre for microdata methods and practice (cemmap): London, UK. Green open access

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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 strategies 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.

Type: Working / discussion paper
Title: Identification based on higher moments
Open access status: An open access version is available from UCL Discovery
Publisher version: https://doi.org/10.47004/wp.cem.2023.0324
Language: English
Additional information: This version is the version of record. For information on re-use, please refer to the publisher’s terms and conditions.
UCL classification: UCL
UCL > Provost and Vice Provost Offices > UCL SLASH
UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS
UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS > Dept of Economics
URI: https://discovery.ucl.ac.uk/id/eprint/10184084
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