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Persistent link: https://www.econbiz.de/10012003975
Proxy structural vector autoregressions (SVARs)identify structural shocks in vector autoregressions (VARs) with external proxy variables that are correlated with the structural shocks of interest but uncorrelated with other structural shocks. We provide asymptotic theory for proxy SVARs when the...
Persistent link: https://www.econbiz.de/10011570152
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Proxy structural vector autoregressions identify structural shocks in vector autoregressions with external variables that are correlated with the structural shocks of interest but uncorrelated with all other structural shocks. We provide asymptotic theory for this identification approach under...
Persistent link: https://www.econbiz.de/10012869707
Persistent link: https://www.econbiz.de/10013540527
We develop some asymptotic theory for applications of block bootstrap resampling schemes to multivariate integrated and cointegrated time series. It is proved that a multivariate, continuous‐path block bootstrap scheme applied to a full rank integrated process succeeds in estimating...
Persistent link: https://www.econbiz.de/10014136189
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Sample quantiles are consistent estimators for the true quantile and satisfy central limit theorems (CLTs) if the underlying distribution is continuous. If the distribution is discrete, the situation is much more delicate. In this case, sample quantiles are known to be not even consistent in...
Persistent link: https://www.econbiz.de/10011490510
We develop some asymptotic theory for applications of block bootstrap resampling schemes to multivariate integrated and cointegrated time series. It is proved that a multivariate, continuous-path block bootstrap scheme applied to a full rank integrated process, succeeds in estimating...
Persistent link: https://www.econbiz.de/10011490558
We derive a framework for asymptotically valid inference in stable vector autoregressive (VAR) models with conditional heteroskedasticity of unknown form. We prove a joint central limit theorem for the VAR slope parameter and innovation covariance parameter estimators and address bootstrap...
Persistent link: https://www.econbiz.de/10011490564