Sascha A Keweloh
Biographic Data
| ID | 9595545 |
|---|---|
| NAME | Sascha A Keweloh |
| GIVEN NAMES | Sascha A |
| FAMILY NAME | Keweloh |
| SIGNATURE | KEWELOH S A |
| AFFILIATIONS | Department of Economics TU Dortmund Dortmund Germany |
| ORCID | 0000-0002-0041-6052 |
| VERIFIED | Yes |
| TOTAL WORKS | 2 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 2 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2026 |
| LATEST PUBLICATION YEAR | 2026 |
| H-INDEX | 0 |
Uncertain Short‐Run Restrictions and Statistically Identified Structural Vector Autoregressions
This study proposes a combination of a statistical identification approach with potentially invalid short‐run zero restrictions. The estimator shrinks towards imposed restrictions and stops shrinkage when the data provide evidence against a restriction. We demonstrate that incorporating valid restrictions through the shrinkage approach enhances the efficiency of the statistically identified estimator, and the impact of invalid restrictions vanish…
Higher Moments and Efficiency Gains in Recursive Structural Vector Autoregressions
Recursive SVAR models are identified by covariance conditions derived from the assumption of uncorrelated shocks. Recent literature has advocated using additional higher‐order moment conditions implied by independent shocks. This paper characterizes the redundancy properties of these higher‐order coskewness and cokurtosis conditions by showing that recursive SVAR estimators that rely exclusively on covariance conditions, neglecting the additional…
No prominent works on this page.
Uncertain Short‐Run Restrictions and Statistically Identified Structural Vector Autoregressions
This study proposes a combination of a statistical identification approach with potentially invalid short‐run zero restrictions. The estimator shrinks towards imposed restrictions and stops shrinkage when the data provide evidence against a restriction. We demonstrate that incorporating valid restrictions through the shrinkage approach enhances the efficiency of the statistically identified estimator, and the impact of invalid restrictions vanish…
Higher Moments and Efficiency Gains in Recursive Structural Vector Autoregressions
Recursive SVAR models are identified by covariance conditions derived from the assumption of uncorrelated shocks. Recent literature has advocated using additional higher‐order moment conditions implied by independent shocks. This paper characterizes the redundancy properties of these higher‐order coskewness and cokurtosis conditions by showing that recursive SVAR estimators that rely exclusively on covariance conditions, neglecting the additional…
Market Dynamics and Volatility (2 works) · Monetary Policy and Economic Impact (2 works) · Applied Mathematics (1 work) · Chemistry (1 work) · Econometrics (1 work) · Economics (1 work) · Energy Load and Power Forecasting (1 work) · Estimator (1 work) · Financial Risk and Volatility Modeling (1 work) · Generalized method of moments (1 work)