Diskussionspapiere 2036 / 2023
Studies of the crude oil market based on structural vector autoregressive (VAR) models typically assume a time-invariant model and transmission of shocks or they consider a time-varying model and shock transmission. We assume a heteroskedastic reduced-form VAR model with time-invariant slope coefficients and test for time-varying impulse responses in a model for the global crude oil market that includes ...
2023| Martin Bruns, Helmut Lütkepohl
Diskussionspapiere 2005 / 2022
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. The test can be used even if the shocks are not identified individually. The asymptotic analysis is supported by small sample simulations which show good properties of the test. An investigation of the impact ...
2022| Martin Bruns, Helmut Lütkepohl
Diskussionspapiere 1949 / 2021
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. A new LP type estimator is also proposed which is very easy to compute. Two generalized least squares ...
2021| Martin Bruns, Helmut Lütkepohl
Diskussionspapiere 1940 / 2021
A major challenge for proxy vector autoregressive analysis is the construction of a suitable external instrument variable or proxy for identifying a shock of interest. Some authors construct sophisticated proxies that account for the dating and size of the shock while other authors consider simpler versions that use only the dating and signs of particular shocks. It is shown that such qualitative (sign-)proxies ...
2021| Lukas Boer, Helmut Lütkepohl
Diskussionspapiere 1913 / 2020
We propose a new bootstrap for inference for impulse responses in structural vector autoregressive models identified with an external proxy variable. Simulations show that the new bootstrap provides conﬁdence intervals for impulse responses which often have more precise coverage than and similar length as the competing moving-block bootstrap intervals. An empirical example shows how the new bootstrap ...
2020| Martin Bruns, Helmut Lütkepohl
Diskussionspapiere 1905 / 2020
A major challenge for proxy vector autoregressive analysis is the construction of a suitable instrument variable for identifying a shock of interest. We propose a simple proxy that can be constructed whenever the dating and sign of particular shocks are known. It is shown that the proxy can lead to impulse response estimates of the impact effects of the shock of interest that are nearly as efficient ...
2020| Lukas Boer, Helmut Lütkepohl
Diskussionspapiere 1876 / 2020
In proxy vector autoregressive models, the structural shocks of interest are identified by an instrument. Although heteroskedasticity is occasionally allowed for, 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 ...
2020| Helmut Lütkepohl, Thore Schlaak
Diskussionspapiere 1871 / 2020
In conventional structural vector autoregressive (VAR) models it is assumed that there are at most as many structural shocks as there are variables in the model. It is pointed out that heteroskedasticity can be used to identify more shocks than variables. However, even if there is heteroskedasticity, the number of shocks that can be identiﬁed is limited. A number of results are provided that allow ...
2020| Helmut Lütkepohl
Diskussionspapiere 1764 / 2018
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 have to be estimated. The residuals of the model are assumed to be from ...
2018| Helmut Lütkepohl, Mika Meitz, Aleksei NetŠunajev, Pentti Saikkonen
Diskussionspapiere 1762 / 2018
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 common approach, a substantial number of methods have been proposed for making joint inferences about the complete impulse response paths up to a given horizon. ...
2018| Helmut Lütkepohl, Anna Staszewska-Bystrova, Peter Winker