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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

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

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

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

Long Memory in German Energy Price Indices

Barros, Carlos Pestana - 2012

This study examines the long-memory properties of German energy price indices (specifically, import and export prices, as well as producer and consumer prices) for hard coal, lignite, mineral oil and natural gas adopting a fractional integration modelling framework. The analysis is undertaken...

Persistent link: https://www.econbiz.de/10013110544

Structural Vector Autoregressions : Checking Identifying Long-Run Restrictions via Heteroskedasticity

Luetkepohl, Helmut - 2014

mechanism and multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models. Using changes in volatility …

Persistent link: https://www.econbiz.de/10013059797

Testing Unemployment Theories : A Multivariate Long Memory Approach

Caporale, Guglielmo Maria - 2014

This paper investigates the empirical relevance of different unemployment theories in three major economies, namely the UK, the US and Japan, by estimating the degree of dependence in the unemployment series. Both univariate and multivariate long memory methods are used. The results vary...

Persistent link: https://www.econbiz.de/10013059850

Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models

Lütkepohl, Helmut - 2018

Tests for identification through heteroskedasticity in structural vector autoregressive analysis are developed for models with two volatility states where the time point of volatility change is known. The tests are Wald type tests for which only the unrestricted model including the covariance...

Persistent link: https://www.econbiz.de/10012909293