Heteroscedastic Proxy Vector Autoregressions

DOI10.1080/07350015.2021.1920962MaRDI QIDQ6620946zbMATH OpenFDO

Authors Helmut Lütkepohl, Thore Schlaak

Publication date 17 October 2024

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2021.1920962

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• Bayesian Analysis of DSGE Models
• Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH
• scientific article; zbMATH DE number 951459 (Why is no real title available?)
• scientific article; zbMATH DE number 2199188 (Why is no real title available?)
• Inference in VARs with conditional heteroskedasticity of unknown form
• Marginal tax rates and income: new time series evidence
• Structural vector autoregressions with Markov switching
• Structural vector autoregressions with Markov switching: combining conventional with statistical identification of shocks
• Structural vector autoregressive analysis
• Testing for identification in SVAR-GARCH models
• Testing identification via heteroskedasticity in structural vector autoregressive models
• Time Varying Structural Vector Autoregressions and Monetary Policy

Cited in

(4)

• Heteroskedastic proxy vector autoregressions: an identification-robust test for time-varying impulse responses in the presence of multiple proxies
• Testing for strong exogeneity in proxy-VARs
• Time-varying shock transmission in non-Gaussian structural vector autoregressions
• Invalid Proxies and Volatility Changes

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