Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH

DOI10.1016/J.JEDC.2019.01.008MaRDI QIDQ1734571zbMATH OpenOpenAlexWikidataFDO

Authors Thore Schlaak, Helmut Lütkepohl

Publication date 27 March 2019

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL http://www.diw.de/documents/publikationen/73/diw_01.c.595124.de/dp1750.pdf

zbMATH Keywords

conditional heteroskedasticityidentification via heteroskedasticityGARCHstructural vector autoregression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Nonparametric statistical resampling methods (62G09)

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Cited in

(6)

• Monetary policy, external instruments, and heteroskedasticity
• Heteroscedastic Proxy Vector Autoregressions
• Qualitative versus quantitative external information for proxy vector autoregressive analysis
• An impulse-response function for a vector autoregression with multivariate GARCH-in-mean
• Inference in VARs with conditional heteroskedasticity of unknown form
• Bootstrapping impulse responses in VAR analyses

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