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Heteroscedastic Proxy Vector Autoregressions

Referierte Aufsätze Web of Science

Helmut Lütkepohl, Thore Schlaak

In: Journal of Business & Economic Statistics 40 (2022), 3, S. 1268-1281


In proxy vector autoregressive models, the structural shocks of interest are identified by an instrument. Although heteroscedasticity is occasionally allowed for in inference, it is typically taken for granted that the impact effects of the structural shocks are time-invariant despite the change in their variances. We develop a test for this implicit assumption and present evidence that the assumption of time-invariant impact effects may be violated in previously used empirical models.

Keywords: Identification through heteroscedasticity; Proxy VAR; Structural vectorautoregression