Konferenzbeitrag

Heteroskedastic Proxy Vector Autoregressions

In proxy vector autoregressive models, the structural shocks of interest are identified by an instrument. Although heteroskedasticity is occasionally allowed for in inference, it is typically taken for granted that the impact effects of the structural shocks are time-invariant despite the change in their variances. We develop a test for this implicit assumption and present evidence that the assumption of time-invariant impact effects may be violated in previously used empirical models.

Language: Englisch

Bibliographic citation: Series: Beiträge zur Jahrestagung des Vereins für Socialpolitik 2021: Climate Economics

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
proxy VAR
identification throughheteroskedasticity

Event: Geistige Schöpfung

(who): Lütkepohl, Helmut
Schlaak, Thore

Event: Veröffentlichung

(who): ZBW - Leibniz Information Centre for Economics

(where): Kiel, Hamburg

(when): 2021

Handle: http://hdl.handle.net/10419/242399

Last update: 10.03.2025, 11:41 AM CET

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Object type

Konferenzbeitrag

Associated

Lütkepohl, Helmut
Schlaak, Thore
ZBW - Leibniz Information Centre for Economics

Time of origin

2021

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