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 QIDQ6567094FDOQ6567094

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

• Title not available (Why is that?)
• Structural vector autoregressions with Markov switching: combining conventional with statistical identification of shocks
• Title not available (Why is that?)
• Structural vector autoregressions with Markov switching
• Inference in VARs with conditional heteroskedasticity of unknown form
• Structural vector autoregressive analysis
• Inference in structural vector autoregressions identified with an external instrument
• Inference in Bayesian proxy-SVARs
• Identification of SVAR Models by Combining Sign Restrictions With External Instruments
• Heteroscedastic Proxy Vector Autoregressions
• Asymptotically Valid Bootstrap Inference for Proxy SVARs

Cited In (1)

• Testing for strong exogeneity in proxy-VARs

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