Heteroskedastic Proxy Vector Autoregressions

Helmut Lütkepohl and Thore Schlaak

VfS Annual Conference 2021 (Virtual Conference): Climate Economics from Verein für Socialpolitik / German Economic Association

Abstract: In proxy vector autoregressive models, the structural shocks of interest are identified by an instrument. Although heteroskedasticity 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.

Keywords: Structural vector autoregression; proxy VAR; identification throughheteroskedasticity (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Date: 2021
New Economics Papers: this item is included in nep-ore
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Citations: View citations in EconPapers (7)

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Related works:
Journal Article: Heteroscedastic Proxy Vector Autoregressions (2022)
Working Paper: Heteroskedastic Proxy Vector Autoregressions (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:vfsc21:242399

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