Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH

DOI10.1016/j.jedc.2019.01.008zbMath1411.62257OpenAlexW2914475829WikidataQ128411673 ScholiaQ128411673MaRDI QIDQ1734571

Thore Schlaak, Helmut Lütkepohl

Publication date: 27 March 2019

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://www.diw.de/documents/publikationen/73/diw_01.c.595124.de/dp1750.pdf

zbMATH Keywords

conditional heteroskedasticityGARCHstructural vector autoregressionidentification via heteroskedasticity

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)

Related Items (2)

Monetary policy, external instruments, and heteroskedasticity ⋮ Qualitative versus quantitative external information for proxy vector autoregressive analysis

Cites Work

• Structural vector autoregressions with smooth transition in variances
• A goodness-of-fit test for ARCH(\(\infty\)) models
• Structural vector autoregressions with Markov switching: combining conventional with statistical identification of shocks
• Method of moments estimation of GO-GARCH models
• Inference in VARs with conditional heteroskedasticity of unknown form
• Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
• Spurious regressions in econometrics
• Testing for identification in SVAR-GARCH models
• On identifying structural VAR models via ARCH effects
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• Identifying Structural Vector Autoregressions Via Changes in Volatility
• The Stationary Bootstrap
• Measuring The Reaction of Monetary Policy to the Stock Market
• FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS
• The Fixed Volatility Bootstrap for a Class of Arch(q) Models
• RESIDUAL-BASED GARCH BOOTSTRAP AND SECOND ORDER ASYMPTOTIC REFINEMENT
• Structural Vector Autoregressive Analysis
• Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
• The bootstrap and Edgeworth expansion
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH