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63 results, from 21
  • Diskussionspapiere 1356 / 2014

    Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions via Heteroskedasticity

    Long-run restrictions have been used extensively for identifying structural shocks in vector autoregressive (VAR) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper reviews and contrasts the volatility models that have been used for this purpose. Three main approaches have been used, exogenously generated changes in the unconditional ...

    2014| Helmut Lütkepohl, Anton Velinov
  • 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
  • Refereed essays Web of Science

    Heteroskedastic Proxy Vector Autoregressions: An Identification-Robust Test 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 but not necessarily individually. The test is robust to the identification scheme for identifying the shocks individually and can be used even if the shocks are not identified individually. The asymptotic analysis ...

    In: Journal of Economic Dynamics & Control 161 (2024), 104837, 15 S. | Martin Bruns, Helmut Lütkepohl
  • Refereed essays Web of Science

    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 and possibly allow for heteroskedasticity by using robust inference procedures. We assume a heteroskedastic reduced-form VAR model with time-invariant slope coefficients and explicitly consider the possibility of time-varying shock transmission due ...

    In: Economics Letters 233 (2023), 111416, 5 S. | Martin Bruns, Helmut Lütkepohl
63 results, from 21
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