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Referierte Aufsätze Web of Science
This paper proposes a new nonparametric method of constructing joint confidence bands for impulse response functions of vector autoregressive models. The estimation uncertainty is captured by means of bootstrapping, and the highest density region (HDR) approach is used to construct the bands. A Monte Carlo comparison of the HDR bands with existing alternatives shows that the former are competitive ...
In:
Empirical Economics
55 (2018), 4, S. 1389-1411
| Helmut Lütkepohl, Anna Staszewska-Bystrova, Peter Winker
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Referierte Aufsätze Web of Science
The performance of information criteria and tests for residual heteroscedasticity for choosing between different models for time‐varying volatility in the context of structural vector autoregressive analysis is investigated. Although it can be difficult to find the true volatility model with the selection criteria, using them is recommended because they can reduce the mean squared error of impulse ...
In:
Oxford Bulletin of Economics and Statistics
80 (2018), 4, S. 715-735
| Helmut Lütkepohl, Thore Schlaak
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Referierte Aufsätze Web of Science
We use a cointegrated structural vector autoregressive model to investigate the relation between monetary policy in the euro area and the stock market. Since there may be an instantaneous causal relation, we consider long-run identifying restrictions for the structural shocks and also used (conditional) heteroscedasticity in the residuals for identification purposes. Heteroscedasticity is modelled ...
In:
Econometrics
6 (2018), 3, 36 (14 S.)
| Helmut Lütkepohl, Aleksei Netšunajev
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Referierte Aufsätze Web of Science
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 impulse response estimates based on long-run and short-run identifying restrictions and find that long-run ...
In:
AStA Advances in Statistical Analysis
102 (2018), 2, S. 229-244
| Helmut Lütkepohl, Anna Staszewska-Bystrova, Peter Winker
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Referierte Aufsätze Web of Science
In this survey, estimation methods for structural vector autoregressive models are presented in a systematic way. Both frequentist and Bayesian methods are considered. Depending on the model setup and type of restrictions, least squares estimation, instrumental variables estimation, method-of-moments estimation and generalized method-of-moments are considered. The methods are presented in a unified ...
In:
Communications for Statistical Applications and Methods
24 (2017), 5, S. 421-441
| Helmut Lütkepohl
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Referierte Aufsätze Web of Science
In structural vector autoregressive analysis identifying the shocks of interest via heteroskedasticity has become a standard tool. Unfortunately, the approaches currently used for modeling heteroskedasticity all have drawbacks. For instance, assuming known dates for variance changes is often unrealistic while more flexible models based on GARCH or Markov switching residuals are difficult to handle ...
In:
Journal of Economic Dynamics & Control
84 (2017), S. 43-57
| Helmut Lütkepohl, Aleksei Netsunajev
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Referierte Aufsätze Web of Science
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 been used for this purpose. Three main approaches have been used, exogenously generated changes in the unconditional ...
In:
Journal of Economic Surveys
30 (2016), 2, S. 377-392
| Helmut Lütkepohl, Anton Velinov
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Referierte Aufsätze Web of Science
Changes in residual volatility in vector autoregressive (VAR) models can be used for identifying structural shocks in a structural VAR analysis. Testable conditions are given for full identification for the case where the volatility changes can be modelled by a multivariate GARCH process. Formal statistical tests are presented for identification and their small sample properties are investigated via ...
In:
Journal of Economic Dynamics & Control
73 (2016), S. 241-258
| Helmut Lütkepohl, George Milunovich
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Referierte Aufsätze Web of Science
In impulse response analysis estimation uncertainty is typically displayed by constructing bands around estimated impulse response functions. If they are based on the joint asymptotic distribution possibly constructed with bootstrap methods in a frequentist framework, often individual confidence intervals are simply connected to obtain the bands. Such bands are known to be too narrow and have a joint ...
In:
Oxford Bulletin of Economics and Statistics
77 (2015), 6, S. 800-821
| Helmut Lütkepohl, Anna Staszewska-Bystrova, Peter Winker
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Referierte Aufsätze Web of Science
In vector autoregressive analyses, confidence intervals for individual impulse responses are typically reported in order to indicate the sampling uncertainty in the estimation results. Various methods are reviewed, and a new method for the construction of joint confidence bands, given a prespecified coverage level, for the impulse responses at all horizons considered simultaneously, is proposed. The ...
In:
International Journal of Forecasting
31 (2015), 3, S. 782-798
| Helmut Lütkepohl, Anna Staszewska-Bystrova, Peter Winker