Inference for structural impulse responses in SVAR-GARCH models

Stefan Bruder

Conditional heteroskedasticity can be exploited to identify the structural vector autoregressions (SVAR) but the implications for inference on structural impulse responses have not been investigated in detail yet. We consider the conditionally heteroskedastic SVAR-GARCH model and propose a bootstrap-based inference procedure on structural impulse responses. We compare the finite-sample properties of our bootstrap method with those of two competing bootstrap methods via extensive Monte Carlo simulations. We also present a three-step estimation procedure of the parameters of the SVAR-GARCH model that promises numerical stability even in scenarios with small sample sizes and/or large dimensions.

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Year of publication:	April 2018
Authors:	Bruder, Stefan
Publisher:	Zurich : University of Zurich, Department of Economics
Subject:	Bootstrap \| conditional heteroskedasticity \| multivariate GARCH \| structural impulse responses \| structural vector autoregression \| VAR-Modell \| VAR model \| ARCH-Modell \| ARCH model \| Schätztheorie \| Estimation theory \| Bootstrap-Verfahren \| Bootstrap approach \| Zeitreihenanalyse \| Time series analysis \| Heteroskedastizität \| Heteroscedasticity