Heteroscedastic Proxy Vector Autoregressions

Helmut Lütkepohl and Thore Schlaak

Journal of Business & Economic Statistics, 2022, vol. 40, issue 3, 1268-1281

Abstract: In proxy vector autoregressive models, the structural shocks of interest are identified by an instrument. Although heteroscedasticity is occasionally allowed for in inference, it is typically taken for granted that the impact effects of the structural shocks are time-invariant despite the change in their variances. We develop a test for this implicit assumption and present evidence that the assumption of time-invariant impact effects may be violated in previously used empirical models.

Date: 2022
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Citations: View citations in EconPapers (9)

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Related works:
Working Paper: Heteroskedastic Proxy Vector Autoregressions (2021)
Working Paper: Heteroskedastic Proxy Vector Autoregressions (2020)
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DOI: 10.1080/07350015.2021.1920962

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