Heteroskedastic Proxy Vector Autoregressions: Testing for Time-Varying Impulse Responses in the Presence of Multiple Proxies
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- Martin Bruns & Helmut Luetkepohl, 2022. "Heteroskedastic Proxy Vector Autoregressions: Testing for Time-Varying Impulse Responses in the Presence of Multiple Proxies," University of East Anglia School of Economics Working Paper Series 2022-02, School of Economics, University of East Anglia, Norwich, UK..
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Cited by:
- Martin Bruns & Helmut Lütkepohl, 2023. "Have the Effects of Shocks to Oil Price Expectations Changed?: Evidence from Heteroskedastic Proxy Vector Autoregressions," Discussion Papers of DIW Berlin 2036, DIW Berlin, German Institute for Economic Research.
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More about this item
Keywords
Structural vector autoregression; proxy VAR; heteroskedasticity; productivity shocks;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2022-06-27 (Econometrics)
- NEP-ETS-2022-06-27 (Econometric Time Series)
- NEP-MAC-2022-06-27 (Macroeconomics)
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