Heteroskedastic proxy vector autoregressions: an identification-robust test for time-varying impulse responses in the presence of multiple proxies

DOI10.1016/j.jedc.2024.104837MaRDI QIDQ6567094

Helmut Lütkepohl, Martin Bruns

Publication date: 4 July 2024

Published in: Unnamed Author (Search for Journal in Brave)

zbMATH Keywords

structural changeheteroskedasticitystructural vector autoregressionproductivity shocksproxy VAR

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (1)

Testing for strong exogeneity in proxy-VARs

Cites Work

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• Structural vector autoregressions with Markov switching: combining conventional with statistical identification of shocks
• Structural vector autoregressions with Markov switching
• Inference in VARs with conditional heteroskedasticity of unknown form
• Inference in structural vector autoregressions identified with an external instrument
• Inference in Bayesian proxy-SVARs
• Structural Vector Autoregressive Analysis
• Identification of SVAR Models by Combining Sign Restrictions With External Instruments
• Heteroscedastic Proxy Vector Autoregressions
• Asymptotically Valid Bootstrap Inference for Proxy SVARs

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