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63 Ergebnisse, ab 41
  • Referierte Aufsätze Web of Science

    Calculating Joint Confidence Bands for Impulse Response Functions Using Highest Density Regions

    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
  • Referierte Aufsätze Web of Science

    Choosing between Different Time-Varying Volatility Models für Structural Vector Autoregressive Analysis

    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
  • Referierte Aufsätze Web of Science

    The Relation between Monetary Policy and the Stock Market in Europe

    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
  • Referierte Aufsätze Web of Science

    Estimation of Structural Impulse Responses: Short-Run versus Long-Run Identifying Restrictions

    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
  • Referierte Aufsätze Web of Science

    Estimation of Structural Vector Autoregressive Models

    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
  • Referierte Aufsätze Web of Science

    Structural Vector Autoregressions with Smooth Transition in Variances

    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
  • Referierte Aufsätze Web of Science

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

    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
  • Referierte Aufsätze Web of Science

    Testing for Identification in SVAR-Garch Models

    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
  • Referierte Aufsätze Web of Science

    Confidence Bands for Impulse Responses: Bonferroni vs. Wald

    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
  • Referierte Aufsätze Web of Science

    Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions

    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
63 Ergebnisse, ab 41
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