Structural vector autoregressions with smooth transition in variances

DOI10.1016/J.JEDC.2017.09.001MaRDI QIDQ77370zbMATH OpenOpenAlexFDO

Authors Helmut Lütkepohl, Aleksei Netšunajev, Aleksei Netšunajev, Helmut Lütkepohl

Publication date November 2017

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

Full work available at URL https://doi.org/10.1016/j.jedc.2017.09.001

zbMATH Keywords

identification via heteroskedasticitymonetary policy shockssmooth transition VAR models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Macroeconomic theory (monetary models, models of taxation) (91B64) Economic time series analysis (91B84)

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• Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
• Global optimization of statistical functions with simulated annealing
• Inference in VARs with conditional heteroskedasticity of unknown form
• Measuring The Reaction of Monetary Policy to the Stock Market
• Modelling Nonlinear Economic Time Series
• Structural Vector Autoregressions With Nonnormal Residuals
• Structural vector autoregressions with Markov switching
• Structural vector autoregressions with Markov switching: combining conventional with statistical identification of shocks
• Testing for identification in SVAR-GARCH models
• Thresholds and smooth transitions in vector autoregressive models

Cited in

(15)

• Identification of Structural Vector Autoregressions by Stochastic Volatility
• Do we reject restrictions identifying fiscal shocks? Identification based on non-Gaussian innovations
• Using time-varying volatility for identification in vector autoregressions: an application to endogenous uncertainty
• Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH
• Asymmetries and Markov-switching structural VAR
• Structural Vector Autoregressions With Nonnormal Residuals
• Structural vector autoregressive models with more shocks than variables identified via heteroskedasticity
• On the evolution of the monetary policy transmission mechanism
• Structural vector autoregressions with Markov switching
• Identifying structural vector autoregressions via changes in volatility
• Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity
• Vector distributed lag models with smoothness priors
• Point estimation in sign-restricted SVARs based on independence criteria with an application to rational bubbles
• Smooth-transition SVAR and external instrument: insights on the identifying assumptions
• Structural vector autoregressions with Markov switching: combining conventional with statistical identification of shocks

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