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

DOI10.1016/J.JEDC.2024.104837MaRDI QIDQ6567094zbMATH OpenFDO

Authors Martin Bruns, Helmut Lütkepohl

Publication date 4 July 2024

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

zbMATH Keywords

heteroskedasticitystructural changestructural vector autoregressionproductivity shocksproxy VAR

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• scientific article; zbMATH DE number 951459 (Why is no real title available?)
• scientific article; zbMATH DE number 2199188 (Why is no real title available?)
• Asymptotically Valid Bootstrap Inference for Proxy SVARs
• Heteroscedastic Proxy Vector Autoregressions
• Identification of SVAR Models by Combining Sign Restrictions With External Instruments
• Inference in Bayesian proxy-SVARs
• Inference in VARs with conditional heteroskedasticity of unknown form
• Inference in structural vector autoregressions identified with an external instrument
• Structural vector autoregressions with Markov switching
• Structural vector autoregressions with Markov switching: combining conventional with statistical identification of shocks
• Structural vector autoregressive analysis

Cited in

(1)

• Testing for strong exogeneity in proxy-VARs

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