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Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH

Lütkepohl, Helmut; Schlaak, Thore - 2018 - Revised version: January 29, 2019

identified by generalized autoregressive conditional heteroskedasticity (GARCH) are reviewed and compared in a Monte Carlo study …. 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 …

Persistent link: https://www.econbiz.de/10012041300

Structural vector autoregressions with heteroskedasticity : a comparison of different volatility models

Lütkepohl, Helmut; Netšunajev, Aleksei - 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/10010501257

Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH

Lütkepohl, Helmut; Schlaak, Thore - 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/10011880712

Choosing between different time-varying volatility models for structural vector autoregressive analysis

Lütkepohl, Helmut; Schlaak, Thore - 2017 - This version: July 4, 2017

The performance of information criteria and tests for residual heteroskedasticity for choosing between different models for time-varying volatility in the context of structural vector autoregressive analysis is investigated. Although it can be difficult to find the true volatility model with the...

Persistent link: https://www.econbiz.de/10011669909

Testing for identification in SVAR-GARCH models : reconsidering the impact of monetary shocks on exchange rates

Lütkepohl, Helmut; Milunovich, George - 2015

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

Persistent link: https://www.econbiz.de/10010488275

Structural vector autoregressive models with more shocks than variables identified via heteroskedasticity

Lütkepohl, Helmut - 2020

In conventional structural vector autoregressive (VAR) models it is assumed that there are at most as many structural shocks as there are variables in the model. It is pointed out that heteroskedasticity can be used to identify more shocks than variables. However, even if there is...

Persistent link: https://www.econbiz.de/10012223488

Heteroskedastic proxy vector autoregressions

Lütkepohl, Helmut; Schlaak, Thore - 2020 - This version: June 10, 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/10012234556

Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity

Lütkepohl, Helmut; Woźniak, Tomasz - 2017

In order to identify structural shocks that affect economic variables, restrictions need to be imposed on the parameters of structural vector autoregressive (SVAR) models. Economic theory is the primary source of such restrictions. However, only over-identifying restrictions can be tested with...

Persistent link: https://www.econbiz.de/10011771740

The relation between monetary policy and the stock market in Europe

Lütkepohl, Helmut; Netšunajev, Aleksei - 2018

We use a cointegrated structural vector autoregressive model to investigate the relation between euro area monetary policy and the stock market. Since there may be an instantaneous causal relation we consider long-run identifying restrictions for the structural shocks and also use (conditional)...

Persistent link: https://www.econbiz.de/10011810177

Constructing joint confidence bands for impulse response functions of VAR models : a review

Lütkepohl, Helmut; Staszewska-Bystrova, Anna; Winker, Peter - 2018

Methods for constructing joint confidence bands for impulse response functions which are commonly used in vector autoregressive analysis are reviewed. While considering separate intervals for each horizon individually still seems to be the most common approach, a substantial number of methods...

Persistent link: https://www.econbiz.de/10011911038