Testing identification via heteroskedasticity in structural vector autoregressive models

Helmut Lütkepohl, Mika Harri Meitz, Aleksei Netšunajev, Pentti Juhani Saikkonen

Tutkimustuotos: ArtikkelijulkaisuArtikkeliTieteellinen

Abstrakti

Tests for identification through heteroskedasticity in structural vector autoregressive analysis are developed for models with two volatility states where the time point of volatility change is known. The tests are Wald type tests for which only the unrestricted model including the covariance matrices of the two volatility states have to be estimated. The residuals of the model are assumed to be from the class of elliptical distributions which includes Gaussian models. The asymptotic null distributions of the test statistics are derived and simulations are used to explore their small sample properties. Two empirical examples illustrate the usefulness of the tests.
Alkuperäiskielienglanti
LehtiDIW Discussion Papers
Vuosikerta2018
Numero1764
Sivumäärä26
ISSN1433-0210
TilaJulkaistu - lokakuuta 2018
OKM-julkaisutyyppiB1 Kirjoitus tieteellisessä aikakauslehdessä

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