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:

Subjects:

Structural vector autoregression

proxy VAR

heteroskedasticity

productivity shocks

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