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Heteroskedastic Proxy Vector Autoregressions

Lütkepohl, Helmut - 2020

In proxy vector autoregressive models, the structural shocks of interest are identified by an instrument. Although heteroskedasticity is occasionally allowed for, it is typically taken for granted that the impact effects of the structural shocks are time-invariant despite the change in their...

Persistent link: https://www.econbiz.de/10012830259

Bayesian Structural VAR Models : A New Approach for Prior Beliefs on Impulse Responses

Bruns, Martin - 2019

Fairtrade certification aims at transferring wealth from the consumer to the farmer; however, coffee passes through many hands before reaching final consumers. Bringing together retail, wholesale, and stock market data, this study estimates how much more consumers are paying for Structural VAR...

Persistent link: https://www.econbiz.de/10012889197

Bootstrapping Impulse Responses of Structural Vector Autoregressive Models Identified Through GARCH

Lütkepohl, Helmut - 2018

generalized autoregressive conditional heteroskedastic (GARCH) innovations. The bootstrap methods considered are a wild bootstrap …, a moving blocks bootstrap and a GARCH residual based bootstrap. Estimation is done by Gaussian maximum likelihood, a … simplified procedure based on univariate GARCH estimations and a method that does not re-estimate the GARCH parameters in each …

Persistent link: https://www.econbiz.de/10012913245

Estimation of Structural Impulse Responses : Short-Run Versus Long-Run Identifying Restrictions

Lütkepohl, Helmut - 2017

There is evidence that estimates of long-run impulse responses of structural vector autoregressive (VAR) models based on long-run identifying restrictions may not be very accurate. This finding suggests that using short-run identifying restrictions may be preferable. We compare structural VAR...

Persistent link: https://www.econbiz.de/10012962687

Assessing Identifying Restrictions in SVAR Models

Piffer, Michele - 2016

This paper proposes a Bayesian approach to assess if the data support candidate set-identifying restrictions for Vector Autoregressive models. The researcher is uncertain about the validity of some sign restrictions that she is contemplating to use. She therefore expresses her uncertainty with a...

Persistent link: https://www.econbiz.de/10012995896

Structural Vector Autoregressions with Heteroskedasticity : A Comparison of Different Volatility Models

Luetkepohl, Helmut - 2015

A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive (VAR) analysis. A number of different models for heteroskedasticity or conditional heteroskedasticity are proposed and used in applications in this context. This study reviews the...

Persistent link: https://www.econbiz.de/10013024767

Testing for Identification in SVAR-GARCH Models : Reconsidering the Impact of Monetary Shocks on Exchange Rates

Luetkepohl, Helmut - 2015

modeled by a multivariate GARCH process. Formal statistical tests are presented for identification and their small sample …

Persistent link: https://www.econbiz.de/10013026616

Long Memory in UK Real GDP, 1851-2013 : An ARFIMA-FIGARCH Analysis

Caporale, Guglielmo Maria - 2014

This paper analyses the long-memory properties of both the conditional mean and variance of UK real GDP over the period 1851-2013 by estimating a multivariate ARFIMA-FIGARCH model (with the unemployment rate and inflation as explanatory variables). The results suggest that this series is...

Persistent link: https://www.econbiz.de/10013051843

Identifying Uncertainty Shocks Using the Price of Gold

Piffer, Michele - 2016

We propose a new instrument to identify the impact of uncertainty shocks in a SVAR model with external instruments. We construct the instrument for uncertainty shocks by exploiting variations in the price of gold around selected events. The events capture periods of changes in uncertainty...

Persistent link: https://www.econbiz.de/10012998205

Viral Shocks to the World Economy

Kholodilin, Konstantin A. - 2020

We construct a news-based viral disease index and study the dynamic impact of epidemics on the world economy, using structural vector autoregressions. Epidemic shocks have persistently negative effects, both directly and indirectly, on affected countries and on world output. The shocks lead to a...

Persistent link: https://www.econbiz.de/10012836920