Heteroskedastic proxy vector autoregressions: An identification-robust test for time-varying impulse responses in the presence of multiple proxies

Bruns, Martin and Lütkepohl, Helmut (2024) Heteroskedastic proxy vector autoregressions: An identification-robust test for time-varying impulse responses in the presence of multiple proxies. Journal of Economic Dynamics and Control, 161. ISSN 0165-1889

Preview

PDF (Bruns_Luetkepohl_2024_JEDC) - Published Version Available under License Creative Commons Attribution. Download (3MB) | Preview

Abstract

We propose a test for time-varying impulse responses in heteroskedastic structural vector autoregressions that can be used when the shocks are identified by external proxy variables as a group but not necessarily individually. The test is robust to the identification scheme for identifying the shocks individually and can be used even if the shocks are not identified individually. The asymptotic analysis is supported by small sample simulations which show good properties of the test. An investigation of the impact of productivity shocks in a small macroeconomic model for the U.S. illustrates the importance of the issue for empirical work.

Item Type:	Article
Faculty \ School:	Faculty of Social Sciences > School of Economics
UEA Research Groups:	Faculty of Social Sciences > Research Groups > Applied Econometrics And Finance
Related URLs:	https://linkinghub.elsevier.com/retrieve...
Depositing User:	LivePure Connector
Date Deposited:	04 Mar 2024 18:36
Last Modified:	04 Mar 2024 18:36
URI:	https://ueaeprints.uea.ac.uk/id/eprint/94526
DOI:	10.1016/j.jedc.2024.104837

Downloads

Actions (login required)

View Item