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Inference in VARs with Conditional Heteroskedasticity of Unknown Form

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Cited by:

  1. Martin Bruns & Helmut Luetkepohl, 2023. "Have the Effects of Shocks to Oil Price Expectations Changed? Evidence from Heteroskedastic Proxy Vector Autoregressions," University of East Anglia School of Economics Working Paper Series 2023-03, School of Economics, University of East Anglia, Norwich, UK..
  2. Giovanni Angelini & Luca Fanelli, 2019. "Exogenous uncertainty and the identification of structural vector autoregressions with external instruments," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(6), pages 951-971, September.
  3. Cai, Yifei & Mignon, Valérie & Saadaoui, Jamel, 2022. "Not all political relation shocks are alike: Assessing the impacts of US–China tensions on the oil market," Energy Economics, Elsevier, vol. 114(C).
  4. Lütkepohl, Helmut & Netšunajev, Aleksei, 2017. "Structural vector autoregressions with heteroskedasticity: A review of different volatility models," Econometrics and Statistics, Elsevier, vol. 1(C), pages 2-18.
  5. Motegi, Kaiji & Iitsuka, Yoshitaka, 2023. "Inter-regional dependence of J-REIT stock prices: A heteroscedasticity-robust time series approach," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
  6. Inoue, Atsushi & Kilian, Lutz, 2016. "Joint confidence sets for structural impulse responses," Journal of Econometrics, Elsevier, vol. 192(2), pages 421-432.
  7. Daniel A. Dias & João B. Duarte, 2019. "Monetary policy, housing rents, and inflation dynamics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(5), pages 673-687, August.
  8. Lloyd, S. P., 2017. "Unconventional Monetary Policy and the Interest Rate Channel: Signalling and Portfolio Rebalancing," Cambridge Working Papers in Economics 1735, Faculty of Economics, University of Cambridge.
  9. Lütkepohl, Helmut & Schlaak, Thore, 2019. "Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH," Journal of Economic Dynamics and Control, Elsevier, vol. 101(C), pages 41-61.
  10. Götz, Thomas B. & Hecq, Alain & Smeekes, Stephan, 2016. "Testing for Granger causality in large mixed-frequency VARs," Journal of Econometrics, Elsevier, vol. 193(2), pages 418-432.
  11. Henri Keränen & Sakari Lähdemäki, 2020. "Identification of fiscal SVARs in small open economies using trading partner forecast errors as instruments," Working Papers 330, Työn ja talouden tutkimus LABORE, The Labour Institute for Economic Research LABORE.
  12. Soliman, Alaa M. & Lau, Chi Keung & Cai, Yifei & Sarker, Provash Kumer & Dastgir, Shabbir, 2023. "Asymmetric Effects of Energy Inflation, Agri-inflation and CPI on Agricultural Output: Evidence from NARDL and SVAR Models for the UK," Energy Economics, Elsevier, vol. 126(C).
  13. Sara Ariza-Murillo & Fredy Gamboa-Estrada & Camilo Andrés Orozco-Vanegas, 2023. "El impacto potencial de los movimientos de portafolio de los inversionistas extranjeros sobre la tasa de cambio en Colombia," Borradores de Economia 1261, Banco de la Republica de Colombia.
  14. Bulat Gafarov & Madina Karamysheva & Andrey Polbin & Anton Skrobotov, 2024. "Wild inference for wild SVARs with application to heteroscedasticity-based IV," Papers 2407.03265, arXiv.org, revised Nov 2024.
  15. Michael W. McCracken & Joseph T. McGillicuddy, 2019. "An empirical investigation of direct and iterated multistep conditional forecasts," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(2), pages 181-204, March.
  16. Bernoth, Kerstin & Herwartz, Helmut & Trienens, Lasse, 2024. "Interest Rates, Convenience Yields and Inflation Expectations: Drivers of US Dollar Exchange Rates," VfS Annual Conference 2024 (Berlin): Upcoming Labor Market Challenges 302351, Verein für Socialpolitik / German Economic Association, revised 2024.
  17. Helmut Lütkepohl & Thore Schlaak, 2022. "Heteroscedastic Proxy Vector Autoregressions," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(3), pages 1268-1281, June.
  18. Kerstin Bernoth & Helmut Herwartz & Lasse Trienens, 2023. "The Impacts of Global Risk and US Monetary Policy on US Dollar Exchange Rates and Excess Currency Returns," Discussion Papers of DIW Berlin 2037, DIW Berlin, German Institute for Economic Research.
  19. Kurt Graden Lunsford, 2015. "Identifying Structural VARs with a Proxy Variable and a Test for a Weak Proxy," Working Papers (Old Series) 1528, Federal Reserve Bank of Cleveland.
  20. Lutz Kilian & Xiaoqing Zhou, 2022. "The Propagation of Regional Shocks in Housing Markets: Evidence from Oil Price Shocks in Canada," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(4), pages 953-987, June.
  21. Enzo Weber & Roland Weigand, 2018. "Identifying macroeconomic effects of refugee migration to Germany," Economics Bulletin, AccessEcon, vol. 38(2), pages 852-862.
  22. Angelini, Giovanni & Cavaliere, Giuseppe & Fanelli, Luca, 2024. "An identification and testing strategy for proxy-SVARs with weak proxies," Journal of Econometrics, Elsevier, vol. 238(2).
  23. Giacomo Rella, 2021. "The Fed, housing and household debt over time," Department of Economics University of Siena 850, Department of Economics, University of Siena.
  24. Stefan Bruder, 2018. "Inference for structural impulse responses in SVAR-GARCH models," ECON - Working Papers 281, Department of Economics - University of Zurich.
  25. Giovanni Angelini & Giovanni Caggiano & Efrem Castelnuovo & Luca Fanelli, 2023. "Are Fiscal Multipliers Estimated with Proxy‐SVARs Robust?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(1), pages 95-122, February.
  26. Brüggemann, Ralf & Jentsch, Carsten & Trenkler, Carsten, 2016. "Inference in VARs with conditional heteroskedasticity of unknown form," Journal of Econometrics, Elsevier, vol. 191(1), pages 69-85.
  27. Lukas Boer & Lukas Menkhoff & Malte Rieth, 2023. "The multifaceted impact of US trade policy on financial markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(3), pages 388-406, April.
  28. Michele Piffer & Maximilian Podstawski, 2018. "Identifying Uncertainty Shocks Using the Price of Gold," Economic Journal, Royal Economic Society, vol. 128(616), pages 3266-3284, December.
  29. Daniel Dzikowski & Carsten Jentsch, 2024. "Structural Periodic Vector Autoregressions," Papers 2401.14545, arXiv.org.
  30. Michael Ryan, 2020. "A Narrative Approach to Creating Instruments with Unstructured and Voluminous Text: An Application to Policy Uncertainty," Working Papers in Economics 20/10, University of Waikato.
  31. Dominik Bertsche & Robin Braun, 2022. "Identification of Structural Vector Autoregressions by Stochastic Volatility," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(1), pages 328-341, January.
  32. repec:zbw:bofrdp:2020_013 is not listed on IDEAS
  33. Härtl, Tilmann, 2022. "Identifying Proxy VARs with Restrictions on the Forecast Error Variance," VfS Annual Conference 2022 (Basel): Big Data in Economics 264071, Verein für Socialpolitik / German Economic Association.
  34. Cai, Yifei & Zhang, Dongna & Chang, Tsangyao & Lee, Chien-Chiang, 2022. "Macroeconomic outcomes of OPEC and non-OPEC oil supply shocks in the euro area," Energy Economics, Elsevier, vol. 109(C).
  35. Lütkepohl, Helmut & Netšunajev, Aleksei, 2017. "Structural vector autoregressions with smooth transition in variances," Journal of Economic Dynamics and Control, Elsevier, vol. 84(C), pages 43-57.
  36. Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2020. "Constructing joint confidence bands for impulse response functions of VAR models – A review," Econometrics and Statistics, Elsevier, vol. 13(C), pages 69-83.
  37. Canepa Alessandra, 2022. "Small Sample Adjustment for Hypotheses Testing on Cointegrating Vectors," Journal of Time Series Econometrics, De Gruyter, vol. 14(1), pages 51-85, January.
  38. Krampe, J. & Paparoditis, E. & Trenkler, C., 2023. "Structural inference in sparse high-dimensional vector autoregressions," Journal of Econometrics, Elsevier, vol. 234(1), pages 276-300.
  39. Demetrescu, Matei & Salish, Nazarii, 2024. "(Structural) VAR models with ignored changes in mean and volatility," International Journal of Forecasting, Elsevier, vol. 40(2), pages 840-854.
  40. Rüth, Sebastian K., 2020. "Shifts in monetary policy and exchange rate dynamics: Is Dornbusch's overshooting hypothesis intact, after all?," Journal of International Economics, Elsevier, vol. 126(C).
  41. Jentsch, Carsten & Lunsford, Kurt G., 2016. "Proxy SVARs : asymptotic theory, bootstrap inference, and the effects of income tax changes in the United States," Working Papers 16-10, University of Mannheim, Department of Economics.
  42. Allan W. Gregory & James McNeil & Gregor W. Smith, 2024. "US fiscal policy shocks: Proxy‐SVAR overidentification via GMM," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(4), pages 607-619, June.
  43. Christis Katsouris, 2023. "Structural Analysis of Vector Autoregressive Models," Papers 2312.06402, arXiv.org, revised Feb 2024.
  44. Cesa-Bianchi, Ambrogio & Thwaites, Gregory & Vicondoa, Alejandro, 2020. "Monetary policy transmission in the United Kingdom: A high frequency identification approach," European Economic Review, Elsevier, vol. 123(C).
  45. Todd E. Clark & Michael W. McCracken, 2014. "Evaluating Conditional Forecasts from Vector Autoregressions," Working Papers (Old Series) 1413, Federal Reserve Bank of Cleveland.
  46. Shioji, Etsuro, 2021. "Pass-through of oil supply shocks to domestic gasoline prices: evidence from daily data," Energy Economics, Elsevier, vol. 98(C).
  47. Daniel Gründler & Eric Mayer & Johann Scharler, 2023. "Monetary Policy Announcements, Information Shocks, and Exchange Rate Dynamics," Open Economies Review, Springer, vol. 34(2), pages 341-369, April.
  48. Martin Bruns & Helmut Lütkepohl, 2022. "Heteroskedastic Proxy Vector Autoregressions: Testing for Time-Varying Impulse Responses in the Presence of Multiple Proxies," Discussion Papers of DIW Berlin 2005, DIW Berlin, German Institute for Economic Research.
  49. Firmin Doko Tchatoka & Qazi Haque, 2024. "Revisiting the Macroeconomic Effects of Monetary Policy Shocks," The Economic Record, The Economic Society of Australia, vol. 100(329), pages 234-259, June.
  50. Greenwood-Nimmo, Matthew & Tarassow, Artur, 2022. "Bootstrap-based probabilistic analysis of spillover scenarios in economic and financial networks," Journal of Financial Markets, Elsevier, vol. 59(PA).
  51. Martin Bruns & Helmut Lütkepohl, 2023. "An Alternative Bootstrap for Proxy Vector Autoregressions," Computational Economics, Springer;Society for Computational Economics, vol. 62(4), pages 1857-1882, December.
  52. Herwartz, Helmut & Theilen, Bernd & Wang, Shu, 2024. "Unraveling the structural sources of oil production and their impact on CO2 emissions," Energy Economics, Elsevier, vol. 132(C).
  53. Bruns, Martin & Lütkepohl, Helmut, 2024. "Heteroskedastic proxy vector autoregressions: An identification-robust test for time-varying impulse responses in the presence of multiple proxies," Journal of Economic Dynamics and Control, Elsevier, vol. 161(C).
  54. Lukas Boer & Helmut Lütkepohl, 2020. "A Simple Instrument for Proxy Vector Autoregressive Analysis," Discussion Papers of DIW Berlin 1905, DIW Berlin, German Institute for Economic Research.
  55. Maxand, Simone, 2020. "Identification of independent structural shocks in the presence of multiple Gaussian components," Econometrics and Statistics, Elsevier, vol. 16(C), pages 55-68.
  56. Buse, Rebekka & Schienle, Melanie & Urban, Jörg, 2022. "Assessing the impact of policy and regulation interventions in European sovereign credit risk networks: What worked best?," Journal of International Economics, Elsevier, vol. 139(C).
  57. Christoph Große Steffen & Maximilian Podstawski, 2016. "Ambiguity and Time-Varying Risk Aversion in Sovereign Debt Markets," Discussion Papers of DIW Berlin 1602, DIW Berlin, German Institute for Economic Research.
  58. Fengler, Matthias & Polivka, Jeannine, 2021. "Proxy-identification of a structural MGARCH model for asset returns," Economics Working Paper Series 2103, University of St. Gallen, School of Economics and Political Science, revised Oct 2024.
  59. Zhu, Ke & Li, Wai Keung, 2015. "A bootstrapped spectral test for adequacy in weak ARMA models," Journal of Econometrics, Elsevier, vol. 187(1), pages 113-130.
  60. Fotiou, Alexandra, 2022. "Non-linearities in fiscal policy: The role of debt," European Economic Review, Elsevier, vol. 150(C).
  61. Helmut Herwartz, 2022. "Modelling interaction patterns in a predator-prey system of two freshwater organisms in discrete time: an identified structural VAR approach," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 31(1), pages 63-85, March.
  62. Lenard Lieb & Stephan Smeekes, 2017. "Inference for Impulse Responses under Model Uncertainty," Papers 1709.09583, arXiv.org, revised Oct 2019.
  63. Christis Katsouris, 2023. "Optimal Estimation Methodologies for Panel Data Regression Models," Papers 2311.03471, arXiv.org, revised Nov 2023.
  64. Fengler, Matthias & Polivka, Jeanine, 2022. "Identifying Structural Shocks to Volatility through a Proxy-MGARCH Model," VfS Annual Conference 2022 (Basel): Big Data in Economics 264010, Verein für Socialpolitik / German Economic Association.
  65. Eminidou, Snezana & Zachariadis, Marios, 2022. "Firms’ expectations and monetary policy shocks in the euro area," Journal of International Money and Finance, Elsevier, vol. 122(C).
  66. Niklas Ahlgren & Paul Catani, 2017. "Wild bootstrap tests for autocorrelation in vector autoregressive models," Statistical Papers, Springer, vol. 58(4), pages 1189-1216, December.
  67. Ederington, Louis H. & Fernando, Chitru S. & Lee, Thomas K. & Linn, Scott C. & Zhang, Huiming, 2021. "The relation between petroleum product prices and crude oil prices," Energy Economics, Elsevier, vol. 94(C).
  68. NAM, Deokwoo & LI, Xiaole, 2024. "The Stimulative Effects of Anticipated Government Spending Expansions : Evidence from Survey Forecasts," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 65(1), pages 1-31, June.
  69. Yicong Lin & Mingxuan Song, 2023. "Robust bootstrap inference for linear time-varying coefficient models: Some Monte Carlo evidence," Tinbergen Institute Discussion Papers 23-049/III, Tinbergen Institute.
  70. Liu, Dandan & Wang, Qiaoyu & Yan, Karen Xueqing, 2022. "Oil supply news shock and Chinese economy," China Economic Review, Elsevier, vol. 73(C).
  71. Helmut Herwartz & Shu Wang, 2024. "Statistical identification in panel structural vector autoregressive models based on independence criteria," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(4), pages 620-639, June.
  72. Herwartz, Helmut & Wang, Shu, 2023. "Point estimation in sign-restricted SVARs based on independence criteria with an application to rational bubbles," Journal of Economic Dynamics and Control, Elsevier, vol. 151(C).
  73. G. Angelini & L. Fanelli, 2018. "Identification and estimation issues in Structural Vector Autoregressions with external instruments," Working Papers wp1122, Dipartimento Scienze Economiche, Universita' di Bologna.
  74. Giovanni Angelini & Giovanni Caggiano & Efrem Castelnuovo & Luca Fanelli, 2020. "Are Fiscal Multipliers Estimated with Proxy-SVARs Robust?," "Marco Fanno" Working Papers 0257, Dipartimento di Scienze Economiche "Marco Fanno".
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