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Inference in Partially Identified Heteroskedastic Simultaneous Equations Models

Lütkepohl, Helmut - 2017

Identification through heteroskedasticity in heteroskedastic simultaneous equations models (HSEMs) is considered. The … possibility that heteroskedasticity identifies the structural parameters only partially is explicitly allowed for. The … asymptoticproperties of the identified parameters are derived. Moreover, tests for identification through heteroskedasticity are developed …

Persistent link: https://www.econbiz.de/10012965407

Monetary Policy, External Instruments and Heteroskedasticity

Podstawski, Maximilian - 2018

We develop a vector autoregressive framework for combining the information in an external instrument with the information in the second moments of the data to identify latent monetary shocks in the United States. We show that the framework improves the identification of the structural model and...

Persistent link: https://www.econbiz.de/10012913247

Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models

Lütkepohl, Helmut - 2018

Tests for identification through heteroskedasticity in structural vector autoregressive analysis are developed for …

Persistent link: https://www.econbiz.de/10012909293

Disentangling Demand and Supply Shocks in the Crude Oil Market : How to Check Sign Restrictions in Structural VARs

Lütkepohl, Helmut - 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/10013109191

Structural Vector Autoregressions : Checking Identifying Long-Run Restrictions via Heteroskedasticity

Lütkepohl, Helmut - 2014

mechanism and multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models. Using changes in volatility …

Persistent link: https://www.econbiz.de/10013059797

Can Stock Price Fundamentals Properly Be Captured? Using Markov Switching in Heteroskedasticity Models to Test Identification Schemes

Velinov, Anton - 2014

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/10013059844

Structural Vector Autoregressions with Heteroskedasticity : A Comparison of Different Volatility Models

Lütkepohl, Helmut - 2015

(VAR) analysis. A number of different models for heteroskedasticity or conditional heteroskedasticity are proposed and used … drawbacks. It thereby enables researchers wishing to use identification of structural VAR models via heteroskedasticity to make …

Persistent link: https://www.econbiz.de/10013024767

Heteroskedastic Proxy Vector Autoregressions

Lütkepohl, Helmut - 2020

heteroskedasticity is occasionally allowed for, it is typically taken for granted that the impact effects of the structural shocks are …

Persistent link: https://www.econbiz.de/10012830259

Identifying Structural Vector Autoregressions Via Changes in Volatility

Lütkepohl, Helmut - 2012

identification. The present study focuses on the latter device. Some possible setups for identification via heteroskedasticity are …

Persistent link: https://www.econbiz.de/10013096619

Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity

Lütkepohl, Helmut - 2017

parameters are identified via Markov-switching heteroskedasticity. In such a model, restrictions that are just-identifying in the … distributions. As an empirical example, monetary models are compared using heteroskedasticity as an additional device for …

Persistent link: https://www.econbiz.de/10012941084