Conditional heteroskedasticity can be exploited to identify the structural vector autoregressions (SVAR) but the implications for inference on structural impulse responses have not been investigated in detail yet. We consider the conditionally heteroskedastic SVAR-GARCH model and propose a...

Different bootstrap methods and estimation techniques for inference for structural vector autoregressive (SVAR) models identified by conditional heteroskedasticity are reviewed and compared in a Monte Carlo study. The model is a SVAR model with generalized autoregressive conditional...

Different bootstrap methods and estimation techniques for inference for structural vector autoregressive (SVAR) models identified by generalized autoregressive conditional heteroskedasticity (GARCH) are reviewed and compared in a Monte Carlo study. The bootstrap methods considered are a wild...

Constructing joint confidence bands for structural impulse response functions based on a VAR model is a difficult task because of the non-linear nature of such functions. We propose new joint confidence bands that cover the entire true structural impulse response function up to a chosen maximum...