DIW Berlin: Publikationssuche

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44 Ergebnisse, ab 1
Diskussionspapiere 1764 / 2018

Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models

Tests for identification through heteroskedasticity in structural vector autoregressive analysis are developed for models with two volatility states where the time point of volatility change is known. The tests are Wald type tests for which only the

2018| Helmut Lütkepohl, Mika Meitz, Aleksei NetŠunajev, Pentti Saikkonen
Diskussionspapiere 1762 / 2018

Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models: A Review

Methods for constructing joint confidence bands for impulse response functions which are commonly used in vector autoregressive analysis are reviewed. While considering separate intervals for each horizon individually still seems to be the most ...

2018| Helmut Lütkepohl, Anna Staszewska-Bystrova, Peter Winker
Diskussionspapiere 1750 / 2018

Bootstrapping Impulse Responses of Structural Vector Autoregressive Models Identified through GARCH

Different bootstrap methods and estimation techniques for inference for structural vector autoregressive (SVAR) models identified by conditional heteroskedasticity are reviewed and compared in a Monte Carlo study. The model is a SVAR model with ...

2018| Helmut Lütkepohl, Thore Schlaak
Diskussionspapiere 1729 / 2018

The Relation between Monetary Policy and the Stock Market in Europe

We use a cointegrated structural vector autoregressive model to investigate the relation between euro area monetary policy and the stock market. Since there may be an instantaneous causal relation we consider long-run identifying restrictions for the

2018| Helmut Lütkepohl, Aleksei Netsunajev
Diskussionspapiere 1707 / 2017

Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity

In order to identify structural shocks that affect economic variables, restrictions need to be imposed on the parameters of structural vector autoregressive (SVAR) models. Economic theory is the primary source of such restrictions. However, only over

2017| Helmut Lütkepohl, Tomasz Woźniak
Diskussionspapiere 1672 / 2017

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

The performance of information criteria and tests for residual heteroskedasticity for choosing between different models for time-varying volatility in the context of structural vector autoregressive analysis is investigated. Although it can be ...

2017| Helmut Lütkepohl, Thore Schlaak
Diskussionspapiere 1642 / 2017

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 .

2017| Helmut Lütkepohl, Anna Staszewska-Bystrova, Peter Winker
Diskussionspapiere 1632 / 2016

Inference in Partially Identified Heteroskedastic Simultaneous Equations Models

Identification through heteroskedasticity in heteroskedastic simultaneous equations models (HSEMs) is considered. The possibility that heteroskedasticity identifies the structural parameters only partially is explicitly allowed for. The ...

2016| Helmut Lütkepohl, George Milunivich, Minxian Yang
Diskussionspapiere 1564 / 2016

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

This paper proposes a new non-parametric 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 ..

2016| Helmut Lütkepohl, Anna Staszewska-Bystrova, Peter Winker
Diskussionspapiere 1464 / 2015

Structural Vector Autoregressions with Heteroskedasticity: A Comparison of Different Volatility Models

A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive (VAR) analysis. A number of different models for heteroskedasticity or conditional heteroskedasticity are proposed and used in ...

2015| Helmut Lütkepohl, Aleksei Netsunajev
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