Heteroskedastic proxy vector autoregressions : an identification-robust test for time-varying impulse responses in the presence of multiple proxies
Year of publication: |
2024
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Authors: | Bruns, Martin ; Lütkepohl, Helmut |
Subject: | Heteroskedasticity | Productivity shocks | Proxy VAR | Structural change | Structural vector autoregression | VAR-Modell | VAR model | Schock | Shock | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Heteroskedastizität | Heteroscedasticity | Strukturwandel | Schätzung | Estimation | Produktivität | Productivity |
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