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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 - 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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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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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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Can Stock Price Fundamentals Properly be Captured?: Using Markov Switching in Heteroskedasticity Models to Test Identification Schemes
Velinov, Anton - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 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/10010729194
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Structural Vector Autoregressions: Checking Identifying Long-run Restrictions via Heteroskedasticity
Lütkepohl, Helmut; Velinov, Anton - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014
mechanism and multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models. Using changes in volatility …
Persistent link: https://www.econbiz.de/10010734525
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Identifying Structural Vector Autoregressions via Changes in Volatility
Lütkepohl, Helmut - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2012
identification. The present study focusses on the latter device. Some possible setups for identification via heteroskedasticity are …
Persistent link: https://www.econbiz.de/10011128872