Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH

DOI10.1016/J.JEDC.2019.01.008zbMATH Open1411.62257OpenAlexW2914475829WikidataQ128411673 ScholiaQ128411673MaRDI QIDQ1734571FDOQ1734571

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

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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)

Cites Work

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• On identifying structural VAR models via ARCH effects
• Identifying structural vector autoregressions via changes in volatility
• The fixed volatility bootstrap for a class of \(\mathrm{ARCH}(q)\) models
• Residual-based GARCH bootstrap and second order asymptotic refinement

Cited In (6)

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

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