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Disentangling demand and supply shocks in the crude oil market: How to check sign restrictions in structural VARs
Lütkepohl, Helmut; Netsunajev, Aleksei - 2012
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...
Persistent link: https://www.econbiz.de/10010287331
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Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity
Lütkepohl, Helmut; Velinov, Anton - 2014
mechanism and multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models. Using changes in volatility …
Persistent link: https://www.econbiz.de/10010249640
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Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity
Lütkepohl, Helmut; Velinov, Anton - 2014
mechanism and multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models. Using changes in volatility …
Persistent link: https://www.econbiz.de/10010233639
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Structural vector autoregressions checking identifying long-run restrictions via heteroskedasticity
Lütkepohl, Helmut; Velinov, Anton - 2014
mechanism and multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models. Using changes in volatility …
Persistent link: https://www.econbiz.de/10010233991
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Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity
Lütkepohl, Helmut; Velinov, Anton - 2016
mechanism and multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models. Using changes in volatility …
Persistent link: https://www.econbiz.de/10011878239
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Can stock price fundamentals properly be captured? : using Markov switching in hetereskedasticity models to test identification schemes
Velinov, Anton - 2013
tested by means of a Markov switching in heteroskedasticity model. It is found that for two of the five models considered …
Persistent link: https://www.econbiz.de/10010229662
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Have the effects of shocks to oil price expectations changed? : evidence from heteroskedastic proxy vector autoregressions
Bruns, Martin; Lütkepohl, Helmut - 2023 - This version: April 21, 20231
to oil price expectations during the last decades which can be attributed to heteroskedasticity. …
Persistent link: https://www.econbiz.de/10014305728
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Structural vector autoregressions: Checking identifying long-run restrictions via heteroskedasticity
Lütkepohl, Helmut; Velinov, Anton - 2014
mechanism and multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models. Using changes in volatility …
Persistent link: https://www.econbiz.de/10010330390
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Structural Vector Autoregressions: Checking Identifying Long-run Restrictions via Heteroskedasticity
Luetkepohl, Helmut; Velinov, Anton - 2014
mechanism and multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models. Using changes in volatility …
Persistent link: https://www.econbiz.de/10010333366
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Structural Vector Autoregressions : Checking Identifying Long-Run Restrictions via Heteroskedasticity
Lütkepohl, Helmut; Velinov, Anton - In: Journal of Economic Surveys 30 (2016), pp. 377-392
Markov switching mechanism and multivariate generalized autoregressive conditional heteroskedasticity models. Using changes …
Persistent link: https://www.econbiz.de/10011877288