Inference in VARs with conditional heteroskedasticity of unknown form

DOI10.1016/J.JECONOM.2015.10.004zbMATH Open1390.62173OpenAlexW1554737254MaRDI QIDQ898587FDOQ898587

Carsten Jentsch, Carsten Trenkler, Ralf Brüggemann

Publication date: 18 December 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.uni-konstanz.de/FuF/wiwi/workingpaperseries/WP_13_Brueggemann-Jentsch-Trenkler_2014.pdf

Recommendations

• Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH
• Inference on co-integration parameters in heteroskedastic vector autoregressions
• Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
• Bootstrapping impulse responses in VAR analyses
• The uniform validity of impulse response inference in autoregressions

zbMATH Keywords

conditional heteroskedasticitywild bootstrapmixingVARpairwise bootstrapresidual-based moving block bootstrap

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05)

Cites Work

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• Time series: theory and methods.
• Bootstrap methods: another look at the jackknife
• The jackknife and the bootstrap for general stationary observations
• Structural vector autoregressions with Markov switching: combining conventional with statistical identification of shocks
• Title not available (Why is that?)
• Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
• Resampling methods for dependent data
• Residual-Based Block Bootstrap for Unit Root Testing
• Title not available (Why is that?)
• Estimating structural VARMA models with uncorrelated but non-independent error terms
• ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
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• A general resampling scheme for triangular arrays of \(\alpha\)-mixing random variables with application to the problem of spectral density estimation
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
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• BOOTSTRAPPING STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE MODELS
• The bootstrap and Edgeworth expansion
• Problems related to confidence intervals for impulse responses of autoregressive processes
• Stationarity and the existence of moments of a family of GARCH processes.
• COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY
• Confidence intervals for impulse responses under departures from normality
• Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
• Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes
• Comparison of bootstrap confidence intervals for impulse responses of German monetary systems
• Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors
• A bootstrap-assisted spectral test of white noise under unknown dependence
• On second-order and fourth-order moments of jointly distributed random matrices: A survey
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• Block Bootstrap Theory for Multivariate Integrated and Cointegrated Processes

Cited In (18)

• Heteroskedastic proxy vector autoregressions: an identification-robust test for time-varying impulse responses in the presence of multiple proxies
• Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH
• GMM Estimation of Non-Gaussian Structural Vector Autoregression
• Asymptotically Valid Bootstrap Inference for Proxy SVARs
• Heteroscedastic Proxy Vector Autoregressions
• Small sample adjustment for hypotheses testing on cointegrating vectors
• Testing for Granger causality in large mixed-frequency VARs
• Modelling interaction patterns in a predator-prey system of two freshwater organisms in discrete time: an identified structural VAR approach
• Bootstrap Inference in Cointegrating Regressions: Traditional and Self-Normalized Test Statistics
• Local projections, autocorrelation, and efficiency
• An identification and testing strategy for proxy-SVARs with weak proxies
• Inference in dynamic models containing 'surprise' variables
• Wild bootstrap tests for autocorrelation in vector autoregressive models
• Inference for VARs identified with sign restrictions
• Structural vector autoregressions with smooth transition in variances
• Point estimation in sign-restricted SVARs based on independence criteria with an application to rational bubbles
• Structural inference in sparse high-dimensional vector autoregressions
• Monetary policy announcements, information shocks, and exchange rate dynamics

Uses Software

• bootstrap

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