Sascha Keweloh
Coordinator @ RGS Econ
I'm a macroeconometrician at TU Dortmund University. My research focuses on macroeconometrics and time series econometrics, particularly structural VARs and higher-moment identification. I'm passionate about teaching, data visualization, and building tools for empirical research. I also serve as Coordinator at RGS Econ.
Selected Research
Working Papers
Dashboards
Understanding Non-Gaussian SVAR: An Interactive Guide
A short interactive dashboard to explore non-Gaussian SVAR models and understand their key concepts through visualization.
Testing for Strong Exogeneity in Proxy-VARs
An interactive illustration of the strong exogeneity test in Proxy-VARs, based on Bruns and Keweloh (2024).
Uncertain Short-Run Restrictions and Statistically Identified SVARS
An interactive illustration of the shrinkage estimator in Keweloh and Wang (2025).
SVARpy Resources
SVARpy: Intuition
Visualizes how leveraging dependency measures can be used to estimate a non-Gaussian SVAR. An introduction to the core concepts.
SVAR-GMM
Overview on the implementation of the SVAR-GMM method in Keweloh (2021). The core estimation method for non-Gaussian SVARs.
Fast SVAR-GMM
Overview on the implementation of the fast SVAR-GMM method in Keweloh (2021). An optimized version for computational efficiency.
SVAR-CUE
Overview on the implementation of the continuous updating version of the SVAR-GMM method in Keweloh (2021).
Block-Recursive SVAR
Overview on how to pass block-recursive restrictions to the estimator, see Keweloh et al. (2023).
Efficiency Gains
Overview on efficiency gains from higher moments in a recursive SVAR, see Keweloh and Wang (2025).