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 …

notably with the pandemic. In a VAR, allowing the errors to have a distribution with fatter tails than the Gaussian one equips … the model to better deal with the COVID-19 shock. A standard Gaussian VAR can still be used for producing conditional …

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 …