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59 results, from 21
Diskussionspapiere 1354 / 2014

Confidence Bands for Impulse Responses: Bonferroni versus Wald

In impulse response analysis estimation uncertainty is typically displayed by constructing bands around estimated impulse response functions. These bands may be based on frequentist or Bayesian methods. If they are based on the joint distribution in the Bayesian framework or the joint asymptotic distribution possibly constructed with bootstrap methods in the frequentist framework often individual confidence ...

2014| Helmut Lütkepohl, Anna Staszewska-Bystrova, Peter Winker
Diskussionspapiere 1351 / 2014

Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey

Large panels of variables are used by policy makers in deciding on policy actions. Therefore it is desirable to include large information sets in models for economic analysis. In this survey methods are reviewed for accounting for the information in large sets of variables in vector autoregressive (VAR) models. This can be done by aggregating the variables or by reducing the parameter space to a manageable ...

2014| Helmut Lütkepohl
Diskussionspapiere 1292 / 2013

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

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 compared ...

2013| Helmut Lütkepohl, Anna Staszewska-Bystrova, Peter Winker
Diskussionspapiere 1259 / 2012

Identifying Structural Vector Autoregressions via Changes in Volatility

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 focusses ...

2012| Helmut Lütkepohl
Diskussionspapiere 1235 / 2012

Reducing Confidence Bands for Simulated Impulse Responses

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 particular, ...

2012| Helmut Lütkepohl
Diskussionspapiere 1230 / 2012

Fundamental Problems with Nonfundamental Shocks

Economic agents using information that is not incorporated in the econometric model is seen as a possible reason for why nonfundamental shocks are important in econometric models. Allowing for nonfundamental shocks in structural vector autoregressive (SVAR) analysis by considering moving average (MA) representations with roots in the complex unit circle is a possible response to the problem. A case ...

2012| Helmut Lütkepohl
Diskussionspapiere 1195 / 2012

Disentangling Demand and Supply Shocks in the Crude Oil Market: How to Check Sign Restrictions in Structural VARs

Given the growing dissatisfaction with exclusion and long-run restrictions in structural vector autoregressive analysis, sign restrictions are becoming increasingly popular. So far there are no techniques for validating the shocks identified via such restrictions. Although in an ideal setting the sign restrictions specify shocks of interest, sign restrictions may be invalidated by measurement errors, ...

2012| Helmut Lütkepohl, Aleksei Netsunajev
Externe referierte Aufsätze

Heteroscedastic Proxy Vector Autoregressions

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 ...

In: Journal of Business & Economic Statistics 40 (2022), 3, S. 1268-1281 | Helmut Lütkepohl, Thore Schlaak
Externe referierte Aufsätze

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. Two generalized least squares (GLS) projection estimators are found to be more accurate than the other ...

In: Journal of Economic Dynamics & Control 134 (2022), 104277, 17 S. | Martin Bruns, Helmut Lütkepohl
Externe referierte Aufsätze

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 unrestricted model, including the covariance matrices of the two volatility states, has to be estimated. The residuals of the model are assumed to be from ...

In: The Econometrics Journal 24 (2021), 1, S. 1-22 | Helmut Lütkepohl, Mika Meitz, Aleksei Netšunajev, Pentti Saikkonen
59 results, from 21
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