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Heteroskedastic proxy vector autoregressions: testing for time-varying impulse responses in the presence of multiple proxies

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Authors and Corporations: Bruns, Martin (Author), Lütkepohl, Helmut (Author)
Other Authors: Lütkepohl, Helmut 1951- [Author]
Edition: This version: May 2, 2022
Type of Resource: E-Book
Language: English
published:
Berlin DIW Berlin, German Institute for Economic Research 2022
Series: Deutsches Institut für Wirtschaftsforschung: Discussion papers ; 2005
Subjects:
Source: Verbunddaten SWB
Lizenzfreie Online-Ressourcen
Description
Summary: We propose a test for time-varying impulse responses in heteroskedastic structural vector autoregressions that can be used when the shocks are identified by external proxy variables as a group. The test can be used even if the shocks are not identified individually. The asymptotic analysis is supported by small sample simulations which show good properties of the test. An investigation of the impact of productivity shocks in a small macroeconomic model for the U.S. illustrates the importance of the issue for empirical work.
Physical Description: 1 Online-Ressource (circa 42 Seiten); Illustrationen