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Comparison of model reduction methods for VAR processes
Brüggemann, Ralf; Krolzig, Hans-Martin; Lütkepohl, Helmut - 2002
The objective of this study is to compare alternative computerized model-selection strategies in the context of the vector autoregressive (VAR) modeling framework. The focus is on a comparison of subset modeling strategies with the general-to-specific reduction approach automated by PcGets....
Persistent link: https://www.econbiz.de/10009627281
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Choosing between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis
Lütkepohl, Helmut - 2017
for time-varying volatility in the context of structural vector autoregressive analysis is investigated. Although it can … be difficult to find the true volatility model with the selection criteria, using them is recommended because they can … whether time-varying volatility is present but do not discriminate well between different types of volatility changes. The …
Persistent link: https://www.econbiz.de/10012952484
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Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity
Lütkepohl, Helmut; Velinov, Anton - 2014
) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper … reviews and contrasts the volatility models that have been used for this purpose. Three main approaches have been used …, exogenously generated changes in the unconditional residual covariance matrix, changing volatility modelled by a Markov switching …
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
) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper … reviews and contrasts the volatility models that have been used for this purpose. Three main approaches have been used …, exogenously generated changes in the unconditional residual covariance matrix, changing volatility modelled by a Markov switching …
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 - 2014
) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper … reviews and contrasts the volatility models that have been used for this purpose. Three main approaches have been used …, exogenously generated changes in the unconditional residual covariance matrix, changing volatility modelled by a Markov switching …
Persistent link: https://www.econbiz.de/10010249640
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Identifying structural vector autoregressions via changes in volatility
Lütkepohl, Helmut - 2012
restrictions for the impulse responses. In a number of articles changes in the volatility of the shocks have also been used for …
Persistent link: https://www.econbiz.de/10009688810
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Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity
Lütkepohl, Helmut; Velinov, Anton - 2016
) analysis. Such restrictions are typically justidentifying but can be checked by utilizing changes in volatility. This paper … reviews and contrasts the volatility models that have been used for this purpose. Three main approaches have been used …, exogenously generated changes in the unconditional residual covariance matrix, changing volatility modelled by a Markov switching …
Persistent link: https://www.econbiz.de/10011878239
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Identifying Monetary Policy Shocks Via Changes in Volatility
Lanne, Markku - 2013
data properties. In particular, it is shown that changes in the volatility of the shocks can be used for identification …
Persistent link: https://www.econbiz.de/10012754187
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Identifying Structural Vector Autoregressions Via Changes in Volatility
Lütkepohl, Helmut - 2012
restrictions for the impulse responses. In a number of articles changes in the volatility of the shocks have also been used for …
Persistent link: https://www.econbiz.de/10013096619
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Comparison of model reduction methods for VAR processes
Brüggemann, Ralf; Krolzig, Hans-Martin; Lütkepohl, Helmut - 2002
The objective of this study is to compare alternative computerized model-selection strategies in the context of the vector autoregressive (VAR) modeling framework. The focus is on a comparison of subset modeling strategies with the general-to-specific reduction approach automated by PcGets....
Persistent link: https://www.econbiz.de/10010310539