Helmut Lütkepohl
Regensburg,
13.10.2014
| Volkswirtschaftliches Forschungskolloquium: Fakultät für Wirtschaftswissenschaften der Universität Regensburg
It is emphasized that the shocks in structural vector autoregressions are only identified up to sign and it is pointed out that this feature can result in very misleading confidence intervals for impulse responses if simulation methods such as Bayesian or bootstrap methods are used. The confidence intervals heavily depend on which variable is used for fixing the sign of the initial responses. In...
Helmut Lütkepohl, Anna Staszewska-Bystrova, Peter Winker
Toulouse, Frankreich,
25.08.2014
- 29.08.2014| 68th European Meeting of the Econometric Society ESEM
Helmut Lütkepohl
Moskau, Russland,
29.05.2014
| Research Seminar: International Laboratory of Financial Economics (LFE) of the Higher School of Economics (HSE)
Identification of shocks of interest is a central problem in structural vector autoregressive (SVAR) modelling. Identification is often achieved by imposing restrictions on the impact or long-run effects of shocks or by considering sign restrictions for the impulse responses. In a number of articles changes in the volatility of the shocks have also been used for identification. The present study...
Helmut Lütkepohl
Warschau, Polen,
21.10.2013
- 24.10.2013| 40th Anniversary Macromodels International Conference
In vector autoregressive analysis confidence intervals for individual impulse responses are typically reported to indicate the sampling uncertainty in the estimation results. A range of methods are reviewed and a new proposal is made for constructing joint confidence bands, given a prespecified coverage level, for the impulse responses at all horizons considered simultaneously. The methods are...
Helmut Lütkepohl, Anna Staszewska-Bystrova, Peter Winker
Florenz, Italien,
11.10.2013
- 12.10.2013| EUI Alumni Conference in Economics 2013
In vector autoregressive analysis confidence intervals for individual impulse responses are typically reported to indicate the sampling uncertainty in the estimation results. A range of methods are reviewed and a new proposal is made for constructing joint confidence bands, given a prespecified coverage level, for the impulse responses at all horizons considered simultaneously. The methods are...
Helmut Lütkepohl, Anna Staszewska-Bystrova, Peter Winker
Berlin,
17.09.2013
- 20.09.2013| Statistische Woche 2013
Identification of shocks of interest is a central problem in structural vector autoregressive (SVAR) modelling. Identification is often achieved by imposing restrictions on the impact or long-run effects of shocks or by considering sign restrictions for the impulse responses. In a number of articles changes in the volatility of the shocks have also been used for identification. The present study...
Helmut Lütkepohl
Sydney, Australien,
27.02.2013
| Business Analytics Seminars: University of Sydney
In vector autoregressive analysis confidence intervals for individual impulse responses are typically reported to indicate the sampling uncertainty in the estimation results. A range of methods are reviewed and a new proposal is made for constructing joint confidence bands, given a prespecified coverage level, for the impulse responses at all horizons considered simultaneously. The methods are...
Helmut Lütkepohl, Anna Staszewska-Bystrova, Peter Winker
Melbourne, Australien,
18.02.2013
- 19.02.2013| Multivariate Time Series Modelling and Forecasting Workshop: Monash University
Identification of shocks of interest is a central problem in structural vector autoregressive (SVAR) modelling. Identification is often achieved by imposing restrictions on the impact or long-run effects of shocks or by considering sign restrictions for the impulse responses. In a number of articles changes in the volatility of the shocks have also been used for identification. The present study...
Helmut Lütkepohl
Dallas, USA,
02.11.2012
- 04.11.2012| Vector Autoregressive Modelling: New Developments and Applications: 12th Annual Advances in Econometrics Conference
Identification of shocks of interest is a central problem in structural vector autoregressive (SVAR) modelling. Identification is often achieved by imposing restrictions on the impact or long-run effects of shocks or by considering sign restrictions for the impulse responses. In a number of articles changes in the volatility of the shocks have also been used for identification. The present study...
Helmut Lütkepohl
Lissabon, Portugal,
28.09.2012
| Seminar: Instituto Universitario de Lisboa