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  • Diskussionspapiere 2081 / 2024

    Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference

    We consider structural vector autoregressions identified through stochastic volatility. Our focus is on whether a particular structural shock is identified by heteroskedasticity without the need to impose any sign or exclusion restrictions. Three contributions emerge from our exercise: (i) a set of conditions under which the matrix containing structural parameters is partially or globally unique; (ii) ...

    2024| Helmut Lütkepohl, Fei Shang, Luis Uzeda, Tomasz Woźniak
  • Diskussionspapiere 2036 / 2023

    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 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

    Heteroskedastic Proxy Vector Autoregressions: Testing 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. 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

    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. 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

    Qualitative versus Quantitative External Information for Proxy Vector Autoregressive Analysis

    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

    An Alternative Bootstrap for Proxy Vector Autoregressions

    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 ...

    2020| Martin Bruns, Helmut Lütkepohl
  • Diskussionspapiere 1905 / 2020

    A Simple Instrument for Proxy Vector Autoregressive Analysis

    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

    Heteroskedastic Proxy Vector Autoregressions

    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

    Structural Vector Autoregressive Models with More Shocks than Variables Identified via Heteroskedasticity

    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 ...

    2020| Helmut Lütkepohl
  • Diskussionspapiere 1764 / 2018

    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 have to be estimated. The residuals of the model are assumed to be from ...

    2018| Helmut Lütkepohl, Mika Meitz, Aleksei NetŠunajev, Pentti Saikkonen