Identification and Estimation of Simultaneous Equation Models Using Higher-Order Cumulant Restrictions
利用高阶累积量限制识别与估计联立方程模型
Identifying structural parameters in linear simultaneous-equation models is a longstanding challenge. Recent work exploits information in higher-order moments of non-Gaussian data. In this literature, the structural errors are typically assumed to be uncorrelated so that, after standardizing the covariance matrix of the observables (whitening), the structural parameter matrix becomes orthogonal -- a device that underpins many identification proofs but can be restrictive in…