This paper investigates whether codependence restrictions can be uniquely imposed on VAR and VEC models via the so …

We derive a framework for asymptotically valid inference in stable vector autoregressive (VAR) models with conditional … heteroskedasticity of unknown form. We prove a joint central limit theorem for the VAR slope parameter and innovation covariance … parameter estimators and address bootstrap inference as well. Our results are important for correct inference on VAR statistics …

In this note we present an updated algorithm to estimate the VAR with stochastic volatility proposed in Mumtaz (2018 …

following econometric techniques OLS, VAR, TAR, GMM and VECM. The results showed a positive and significant, but weak …

This paper introduces a VAR with stochastic volatility in mean where the residuals of the volatility equations and the …