Inference in VARs with conditional heteroskedasticity of unknown form

DOI10.1016/j.jeconom.2015.10.004zbMath1390.62173OpenAlexW1554737254MaRDI QIDQ898587

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

zbMATH Keywords

VARmixingconditional heteroskedasticitywild bootstrappairwise bootstrapresidual-based moving block bootstrap

Mathematics Subject Classification ID

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

Related Items (10)

Modelling interaction patterns in a predator-prey system of two freshwater organisms in discrete time: an identified structural VAR approach ⋮ Wild bootstrap tests for autocorrelation in vector autoregressive models ⋮ Monetary policy announcements, information shocks, and exchange rate dynamics ⋮ Point estimation in sign-restricted SVARs based on independence criteria with an application to rational bubbles ⋮ Local projections, autocorrelation, and efficiency ⋮ An identification and testing strategy for proxy-SVARs with weak proxies ⋮ Structural inference in sparse high-dimensional vector autoregressions ⋮ Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH ⋮ Structural vector autoregressions with smooth transition in variances ⋮ Testing for Granger causality in large mixed-frequency VARs

Uses Software

• bootstrap

Cites Work

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