Lewis, Daniel;
(2025)
Identification Based on Higher Moments in
Macroeconometrics.
Annual Review of Economics
, 17
pp. 665-693.
10.1289/EHP14645.
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Abstract
In the last two decades, identification based on higher moments has attracted increasing theoretical attention and been widely adopted in empirical practice in macroeconometrics. This article reviews two parallel strands of the literature. The first is identification strategies based on heteroskedasticity of the structural shocks, which can provide additional covariance equations. The second exploits non-Gaussianity more generally of the structural shocks for identification, generally under the assumption of independence, based on the mature independent components analysis literature. I describe in detail the seminal identification results and discuss recent extensions. For each scheme, I describe parametric and nonparametric implementations and highlight prominent empirical applications. I also discuss key issues for the adoption of such strategies, including weak identification and the interpretability of statistically identified structural shocks. I further outline key areas of ongoing research, such as the blending of multiple sources of identifying information.
| Type: | Article |
|---|---|
| Title: | Identification Based on Higher Moments in Macroeconometrics |
| Open access status: | An open access version is available from UCL Discovery |
| DOI: | 10.1289/EHP14645 |
| Publisher version: | http://doi.org/10.1289/EHP14645 |
| Language: | English |
| Additional information: | This work is licensed under a Creative Commons License. The images or other third-party material in this article are included in the Creative Commons license, unless indicated otherwise in the credit line; if the material is not included under the Creative Commons license, users will need to obtain permission from the license holder to reproduce the material. To view a copy of this license, visit http://creativecommons.org/licenses/by/4.0/ |
| Keywords: | Identification, higher moments, structural shocks, SVAR, heteroskedasticity, non-Gaussianity |
| 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/10208055 |
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