Heteroskedastic Structural Vector Autoregressions Identified via Long-run Restrictions

Martin Bruns and Helmut Lütkepohl

No 2103, Discussion Papers of DIW Berlin from DIW Berlin, German Institute for Economic Research

Abstract: A central assumption for identifying structural shocks in vector autoregressive (VAR) models via heteroskedasticity is the time-invariance of the impact effects of the shocks. It is shown how that assumption can be tested when long-run restrictions are available for identifying structural shocks. The importance of performing such tests is illustrated by investigating the impact of fundamental shocks on stock prices in the U.S.. It is found that fundamental shocks post-1986 have become more important than in the pre-1986 period.

Keywords: Structural vector autoregression; heteroskedasticity; cointegration; structural vector error correction model (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Pages: 23 p.
Date: 2024
New Economics Papers: this item is included in nep-ets
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Working Paper: Heteroskedastic Structural Vector Autoregressions Identified via Long-run Restrictions (2024)
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