Heteroskedastic Proxy Vector Autoregressions: Testing for Time-Varying Impulse Responses in the Presence of Multiple Proxies

Martin Bruns and Helmut Luetkepohl
Additional contact information
Helmut Luetkepohl: DIW Berlin and Freie Universitaet Berlin
Authors registered in the RePEc Author Service: Helmut Lütkepohl

No 2022-02, University of East Anglia School of Economics Working Paper Series from School of Economics, University of East Anglia, Norwich, UK.

Abstract: We propose a test for time-varying impulse responses in heteroskedastic structural vector autoregressions that can be used when the shocks are identified by external proxy variables as a group. The test can be used even if the shocks are not identified individually. The asymptotic analysis is supported by small sample simulations which show good properties of the test. An investigation of the impact of productivity shocks in a small macroeconomic model for the U.S. illustrates the importance of the issue for empirical work.

Keywords: Structural vector autoregression; proxy VAR; heteroskedasticity; productivity shocks (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Date: 2022-05-30
New Economics Papers: this item is included in nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://ueaeco.github.io/working-papers/papers/ueaeco/UEA-ECO-2022-02.pdf main text (application/pdf)

Related works:
Working Paper: Heteroskedastic Proxy Vector Autoregressions: Testing for Time-Varying Impulse Responses in the Presence of Multiple Proxies (2022)
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:uea:ueaeco:2022-02

Ordering information: This working paper can be ordered from
Reception, School of Economics, University of East Anglia, Norwich Research Park, Norwich, NR4 7TJ, UK

Access Statistics for this paper

More papers in University of East Anglia School of Economics Working Paper Series from School of Economics, University of East Anglia, Norwich, UK. Contact information at EDIRC.
Bibliographic data for series maintained by Cara Liggins ().