Arbeitspapier

Structural vector autoregressive models with more shocks than variables identified via heteroskedasticity

to related objects

In conventional structural vector autoregressive (VAR) models it is assumed that there are at most as many structural shocks as there are variables in the model. It is pointed out that heteroskedasticity can be used to identify more shocks than variables. However, even if there is heteroskedasticity, the number of shocks that can be identified is limited. A number of results are provided that allow a researcher to assess how many shocks can be identified from specific forms of heteroskedasticity.

Language: Englisch

Bibliographic citation: Series: DIW Discussion Papers ; No. 1871

Classification: Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

Subject: structural vector autoregression
identification through heteroskedasticity
structural shocks

Event: Geistige Schöpfung

(who): Lütkepohl, Helmut

Event: Veröffentlichung

(who): Deutsches Institut für Wirtschaftsforschung (DIW)

(where): Berlin

(when): 2020

Handle: http://hdl.handle.net/10419/218992

Last update: 10.03.2025, 11:42 AM CET

Data provider

This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.

Show original at data provider

Object type

Arbeitspapier

Associated

Lütkepohl, Helmut
Deutsches Institut für Wirtschaftsforschung (DIW)

Time of origin

2020

Other Objects (12)

Structural vector autoregressive models with more shocks than variables identified via heteroskedasticity

Structural vector autoregressive models with more shocks than variables identified via heteroskedasticity

Testing for vector autoregressive dynamics under heteroskedasticity

Arbeitspapier

Testing for vector autoregressive dynamics under heteroskedasticity

Testing for Vector Autoregressive Dynamics under Heteroskedasticity

Testing for Vector Autoregressive Dynamics under Heteroskedasticity

Testing identification via heteroskedasticity in structural vector autoregressive models

Arbeitspapier

Testing identification via heteroskedasticity in structural vector autoregressive models

Testing identification via heteroskedasticity in structural vector autoregressive models

Artikel

Testing identification via heteroskedasticity in structural vector autoregressive models

Testing identification via heteroskedasticity in structural vector autoregressive models

Testing identification via heteroskedasticity in structural vector autoregressive models

Testing identification via heteroskedasticity in structural vector autoregressive models

Testing identification via heteroskedasticity in structural vector autoregressive models

Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity

Arbeitspapier

Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity

Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity

Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity

A non-parametric approach of heteroskedasticity robust estimation of Vector-Autoregressive (VAR) models

Artikel

A non-parametric approach of heteroskedasticity robust estimation of Vector-Autoregressive (VAR) models

Testing for linear autoregressive dynamics under heteroskedasticity

Arbeitspapier

Testing for linear autoregressive dynamics under heteroskedasticity

Testing for Linear Autoregressive Dynamics under Heteroskedasticity

Testing for Linear Autoregressive Dynamics under Heteroskedasticity

Structural vector autoregressive models with more shocks than variables identified via heteroskedasticity

Structural vector autoregressive models with more shocks than variables identified via heteroskedasticity

Testing for vector autoregressive dynamics under heteroskedasticity

Arbeitspapier

Testing for vector autoregressive dynamics under heteroskedasticity

Testing for Vector Autoregressive Dynamics under Heteroskedasticity

Testing for Vector Autoregressive Dynamics under Heteroskedasticity

Testing identification via heteroskedasticity in structural vector autoregressive models

Arbeitspapier

Testing identification via heteroskedasticity in structural vector autoregressive models

Testing identification via heteroskedasticity in structural vector autoregressive models

Artikel

Testing identification via heteroskedasticity in structural vector autoregressive models

Testing identification via heteroskedasticity in structural vector autoregressive models

Testing identification via heteroskedasticity in structural vector autoregressive models

Testing identification via heteroskedasticity in structural vector autoregressive models

Testing identification via heteroskedasticity in structural vector autoregressive models

Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity

Arbeitspapier

Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity

Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity

Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity

A non-parametric approach of heteroskedasticity robust estimation of Vector-Autoregressive (VAR) models

Artikel

A non-parametric approach of heteroskedasticity robust estimation of Vector-Autoregressive (VAR) models

Testing for linear autoregressive dynamics under heteroskedasticity

Arbeitspapier

Testing for linear autoregressive dynamics under heteroskedasticity

Testing for Linear Autoregressive Dynamics under Heteroskedasticity

Testing for Linear Autoregressive Dynamics under Heteroskedasticity

Structural vector autoregressive models with more shocks than variables identified via heteroskedasticity

Structural vector autoregressive models with more shocks than variables identified via heteroskedasticity

Testing for vector autoregressive dynamics under heteroskedasticity

Arbeitspapier

Testing for vector autoregressive dynamics under heteroskedasticity

Testing for Vector Autoregressive Dynamics under Heteroskedasticity

Testing for Vector Autoregressive Dynamics under Heteroskedasticity

Testing identification via heteroskedasticity in structural vector autoregressive models

Arbeitspapier

Testing identification via heteroskedasticity in structural vector autoregressive models

Testing identification via heteroskedasticity in structural vector autoregressive models

Artikel

Testing identification via heteroskedasticity in structural vector autoregressive models

Testing identification via heteroskedasticity in structural vector autoregressive models

Testing identification via heteroskedasticity in structural vector autoregressive models

Testing identification via heteroskedasticity in structural vector autoregressive models

Testing identification via heteroskedasticity in structural vector autoregressive models

Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity

Arbeitspapier

Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity

Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity

Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity

A non-parametric approach of heteroskedasticity robust estimation of Vector-Autoregressive (VAR) models

Artikel

A non-parametric approach of heteroskedasticity robust estimation of Vector-Autoregressive (VAR) models

Testing for linear autoregressive dynamics under heteroskedasticity

Arbeitspapier

Testing for linear autoregressive dynamics under heteroskedasticity

Testing for Linear Autoregressive Dynamics under Heteroskedasticity

Testing for Linear Autoregressive Dynamics under Heteroskedasticity

Cultural heritage institutions wishing to register will find more information here.

Fields marked * need to be filled in.

Username*

Please enter your username

Email*

Please enter your email address

Please do not fill this field

First name

Last name

Password*

Please enter your password

Confirm password*

Please enter the same password

I have read the terms of use and the privacy policy for the collection of personal data and accept them. *

This field is required.

I would like to subscribe to the newsletter of the Deutsche Digitale Bibliothek. See newsletter subscription info.

Account created

Your "My DDB" account has been successfully created. Before you can log in to your account, you must click the confirmation link in the message we just sent to the email address you provided.