Structural vector autoregressions with smooth transition in variances

DOI10.1016/J.JEDC.2017.09.001zbMATH Open1401.91505OpenAlexW2751707384MaRDI QIDQ77370FDOQ77370

Aleksei Netšunajev, Helmut Lütkepohl, Helmut Lütkepohl, Aleksei Netšunajev

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

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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)

Cites Work

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• Testing for identification in SVAR-GARCH models
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• Thresholds and Smooth Transitions in Vector Autoregressive Models
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• Measuring The Reaction of Monetary Policy to the Stock Market
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• Modelling Nonlinear Economic Time Series
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• Structural vector autoregressions with Markov switching
• Inference in VARs with conditional heteroskedasticity of unknown form
• Bootstrapping autoregressions with conditional heteroskedasticity of unknown form

Cited In (9)

• Do we reject restrictions identifying fiscal shocks? Identification based on non-Gaussian innovations
• Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH
• Using time-varying volatility for identification in vector autoregressions: an application to endogenous uncertainty
• Vector distributed lag models with smoothness priors
• Structural Vector Autoregressions With Nonnormal Residuals
• Identification of Structural Vector Autoregressions by Stochastic Volatility
• svars
• Structural vector autoregressions with Markov switching
• Point estimation in sign-restricted SVARs based on independence criteria with an application to rational bubbles

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