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...
Helmut Lütkepohl
Warschau, Polen,
21.10.2013
- 24.10.2013| 40th Anniversary Macromodels International Conference
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...
Helmut Lütkepohl, Anna Staszewska-Bystrova, Peter Winker
Florenz, Italien,
11.10.2013
- 12.10.2013| EUI Alumni Conference in Economics 2013
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...
Helmut Lütkepohl, Anna Staszewska-Bystrova, Peter Winker
Berlin,
17.09.2013
- 20.09.2013| Statistische Woche 2013
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...
Helmut Lütkepohl
Sydney, Australien,
27.02.2013
| Business Analytics Seminars: University of Sydney
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...
Helmut Lütkepohl, Anna Staszewska-Bystrova, Peter Winker
Melbourne, Australien,
18.02.2013
- 19.02.2013| Multivariate Time Series Modelling and Forecasting Workshop: Monash University
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...
Helmut Lütkepohl
Dallas, USA,
02.11.2012
- 04.11.2012| Vector Autoregressive Modelling: New Developments and Applications: 12th Annual Advances in Econometrics Conference
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...
Helmut Lütkepohl
Lissabon, Portugal,
28.09.2012
| Seminar: Instituto Universitario de Lisboa
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...
Helmut Lütkepohl, Aleksei Netsunajev
Rom, Italien,
11.09.2012
| Workshop on "New Developments in Econometrics and Time Series"
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...
Aleksei Netsunajev, Helmut Lütkepohl
Malaga, Spanien,
27.08.2012
- 31.08.2012| 66th European Meeting of the Econometric Society ESEM
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...
Helmut Lütkepohl
Aarhus, Dänemark,
17.06.2012
- 19.06.2012| Nonlinear Time Series Econometrics: Conference in Honor of Timo Teräsvirta. CREATES, Aarhus University
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...
Helmut Lütkepohl, Aleksei Netsunajev
Hannover,
25.04.2012
| Seminar: Institut für Statistik, Leibniz-Universität Hannover
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...
Helmut Lütkepohl, Aleksei Netsunajev
Frankfurt am Main,
27.01.2012
| Seminar: Deutsche Bundesbank