EconPapers    
Economics at your fingertips  
 

Choosing Between Different Time‐Varying Volatility Models for Structural Vector Autoregressive Analysis

Helmut Lütkepohl () and Thore Schlaak

Oxford Bulletin of Economics and Statistics, 2018, vol. 80, issue 4, 715-735

Abstract: The performance of information criteria and tests for residual heteroscedasticity for choosing between different models for time‐varying volatility in the context of structural vector autoregressive analysis is investigated. Although it can be difficult to find the true volatility model with the selection criteria, using them is recommended because they can reduce the mean squared error of impulse response estimates substantially relative to a model that is chosen arbitrarily based on the personal preferences of a researcher. Heteroscedasticity tests are found to be useful tools for deciding whether time‐varying volatility is present but do not discriminate well between different types of volatility changes. The selection methods are illustrated by specifying a model for the global market for crude oil.

Date: 2018
References: Add references at CitEc
Citations: View citations in EconPapers (9) Track citations by RSS feed

Downloads: (external link)
https://doi.org/10.1111/obes.12238

Related works:
Journal Article: Choosing Between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis (2018) Downloads
Working Paper: Choosing between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis (2017) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:obuest:v:80:y:2018:i:4:p:715-735

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0305-9049

Access Statistics for this article

Oxford Bulletin of Economics and Statistics is currently edited by Christopher Adam, Anindya Banerjee, Christopher Bowdler, David Hendry, Adriaan Kalwij, John Knight and Jonathan Temple

More articles in Oxford Bulletin of Economics and Statistics from Department of Economics, University of Oxford Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().

 
Page updated 2021-04-20
Handle: RePEc:bla:obuest:v:80:y:2018:i:4:p:715-735