Search Results - subject:"Structural impulse responses"

Inference for structural impulse responses in SVAR-GARCH models

Bruder, Stefan - 2018

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 …

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011969192

Inference for structural impulse responses in SVAR-GARCH models

Bruder, Stefan - 2018

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011817166

Estimation and inference of dynamic structural factor models with over-identifying restrictions

Han, Xu - In: Journal of econometrics 202 (2018) 2, pp. 125-147

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011974557

Tests for overidentifying restrictions in Factor-Augmented VAR models

Han, Xu - In: Journal of Econometrics 184 (2015) 2, pp. 394-419

This paper develops tests for overidentifying restrictions in Factor-Augmented Vector Autoregressive (FAVAR) models. The identification of structural shocks in FAVAR can involve infinitely many restrictions as the number of cross sections goes to infinity. Our focus is to test the joint null...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011117422

Tests for overidentifying restrictions in Factor-Augmented VAR models

Han, Xu - In: Journal of econometrics 184 (2015) 2, pp. 394-419

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011339283