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A common-feature approach for testing present-value restrictions with financial data
Hecq, Alain W. J.; Issler, João Victor - 2012
Persistent link: https://www.econbiz.de/10009500252
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A common-feature approach for testing present-value restrictions with financial data
Hecq, Alain W. J.; Issler, João Victor - 2011
Persistent link: https://www.econbiz.de/10009532945
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The relation between monetary policy and the stock market in Europe
Lütkepohl, Helmut; Netšunajev, Aleksei - In: Econometrics : open access journal 6 (2018) 3, pp. 1-14
restrictions for the structural shocks and also used (conditional) heteroscedasticity in the residuals for identification purposes …. Heteroscedasticity is modelled by a Markov-switching mechanism. We find a plausible identification scheme for stock market and monetary …
Persistent link: https://www.econbiz.de/10011887655
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Estimation of a multivariate cointegrated time series model with conditionally heteroskedastic disturbances
Carstensen, Kai - 1999 - (Rev. version)
Persistent link: https://www.econbiz.de/10001465498
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Applied time series econometrics
Lütkepohl, Helmut (contributor);  … - 2004
Persistent link: https://www.econbiz.de/10001851355
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Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models
Cavaliere, Giuseppe; Rahbek, Anders; Taylor, Robert - 2012
In a recent paper Cavaliere et al. (2012) develop bootstrap implementations of the (pseudo-) likelihood ratio [PLR] co-integration rank test and associated sequential rank determination procedure of Johansen (1996). The bootstrap samples are constructed using the restricted parameter estimates...
Persistent link: https://www.econbiz.de/10014166032
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Heteroskedastic structural vector autoregressions identified via long-run restrictions
Bruns, Martin; Lütkepohl, Helmut - 2024 - This version: December 3, 2024
A central assumption for identifying structural shocks in vector autoregressive (VAR) models via heteroskedasticity is the time-invariance of the impact effects of the shocks. It is shown how that assumption can be tested when longrun restrictions are available for identifying structural shocks....
Persistent link: https://www.econbiz.de/10015207512
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Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity
Lütkepohl, Helmut; Velinov, Anton - 2014
Long-run restrictions have been used extensively for identifying structural shocks in vector autoregressive (VAR) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper reviews and contrasts the volatility models that have...
Persistent link: https://www.econbiz.de/10010233639
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Structural vector autoregressions checking identifying long-run restrictions via heteroskedasticity
Lütkepohl, Helmut; Velinov, Anton - 2014
Long-run restrictions have been used extensively for identifying structural shocks in vector autoregressive (VAR) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper reviews and contrasts the volatility models that have...
Persistent link: https://www.econbiz.de/10010233991
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Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity
Lütkepohl, Helmut; Velinov, Anton - 2014
Long-run restrictions have been used extensively for identifying structural shocks in vector autoregressive (VAR) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper reviews and contrasts the volatility models that have...
Persistent link: https://www.econbiz.de/10010249640