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  • Diskussionspapiere 2108 / 2025

    Comparing External and Internal Instruments for Vector Autoregressions

    In conventional proxy VAR analysis, the shocks of interest are identified by external instruments. This is typically accomplished by considering the covariance of the instruments and the reduced-form residuals. Alternatively, the instruments may be internalized by augmenting the VAR process by the instruments or proxies. These alternative identification methods are compared and it is shown that the ...

    2025| Martin Bruns, Helmut Lütkepohl
  • Diskussionspapiere 2103 / 2024

    Heteroskedastic Structural Vector Autoregressions Identified via Long-run Restrictions

    A central assumption for identifying structural shocks in vector autoregressive (VAR) models via heteroskedasticity is the time-invariance of the impact effects of the shocks. It is shown how that assumption can be tested when long-run restrictions are available for identifying structural shocks. The importance of performing such tests is illustrated by investigating the impact of fundamental shocks ...

    2024| Martin Bruns, Helmut Lütkepohl
  • Diskussionspapiere 2095 / 2024

    Avoiding Unintentionally Correlated Shocks in Procy Vector Autoregressive Analysis

    The shocks in structural vector autoregressive (VAR) analysis are typically assumed to be instantaneously uncorrelated. This condition may easily be violated in proxy VAR models if more than one shock is identified by a proxy variable. Correlated shocks may be obtained even if the proxies are uncorrelated and satisfy the usual relevance and exogeneity conditions individually. Examples from the recent ...

    2024| Martin Bruns, Helmut Lütkepohl, James McNeil
  • Diskussionspapiere 2081 / 2024

    Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference

    We consider structural vector autoregressions identified through stochastic volatility. Our focus is on whether a particular structural shock is identified by heteroskedasticity without the need to impose any sign or exclusion restrictions. Three contributions emerge from our exercise: (i) a set of conditions under which the matrix containing structural parameters is partially or globally unique; (ii) ...

    2024| Helmut Lütkepohl, Fei Shang, Luis Uzeda, Tomasz Woźniak
  • Diskussionspapiere 2036 / 2023

    Have the Effects of Shocks to Oil Price Expectations Changed? Evidence from Heteroskedastic Proxy Vector Autoregressions

    Studies of the crude oil market based on structural vector autoregressive (VAR) models typically assume a time-invariant model and transmission of shocks or they consider a time-varying model and shock transmission. We assume a heteroskedastic reduced-form VAR model with time-invariant slope coefficients and test for time-varying impulse responses in a model for the global crude oil market that includes ...

    2023| Martin Bruns, Helmut Lütkepohl
  • Diskussionspapiere 2005 / 2022

    Heteroskedastic Proxy Vector Autoregressions: Testing for Time-Varying Impulse Responses in the Presence of Multiple Proxies

    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 ...

    2022| Martin Bruns, Helmut Lütkepohl
  • Diskussionspapiere 1949 / 2021

    Comparison of Local Projection Estimators for Proxy Vector Autoregressions

    Different local projection (LP) estimators for structural impulse responses of proxy vector autoregressions are reviewed and compared algebraically and with respect to their small sample suitability for inference. Conditions for numerical equivalence and similarities of some estimators are provided. A new LP type estimator is also proposed which is very easy to compute. Two generalized least squares ...

    2021| Martin Bruns, Helmut Lütkepohl
  • Diskussionspapiere 1940 / 2021

    Qualitative versus Quantitative External Information for Proxy Vector Autoregressive Analysis

    A major challenge for proxy vector autoregressive analysis is the construction of a suitable external instrument variable or proxy for identifying a shock of interest. Some authors construct sophisticated proxies that account for the dating and size of the shock while other authors consider simpler versions that use only the dating and signs of particular shocks. It is shown that such qualitative (sign-)proxies ...

    2021| Lukas Boer, Helmut Lütkepohl
  • Diskussionspapiere 1913 / 2020

    An Alternative Bootstrap for Proxy Vector Autoregressions

    We propose a new bootstrap for inference for impulse responses in structural vector autoregressive models identified with an external proxy variable. Simulations show that the new bootstrap provides confidence intervals for impulse responses which often have more precise coverage than and similar length as the competing moving-block bootstrap intervals. An empirical example shows how the new bootstrap ...

    2020| Martin Bruns, Helmut Lütkepohl
  • Diskussionspapiere 1905 / 2020

    A Simple Instrument for Proxy Vector Autoregressive Analysis

    A major challenge for proxy vector autoregressive analysis is the construction of a suitable instrument variable for identifying a shock of interest. We propose a simple proxy that can be constructed whenever the dating and sign of particular shocks are known. It is shown that the proxy can lead to impulse response estimates of the impact effects of the shock of interest that are nearly as efficient ...

    2020| Lukas Boer, Helmut Lütkepohl
67 Ergebnisse, ab 1
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