Heteroscedastic Proxy Vector Autoregressions. Issue 3 (16th June 2022)

• Record Type: Journal Article
• Authors: Lütkepohl, Helmut; Schlaak, Thore
• Is Part Of: Journal of business & economic statistics. Volume 40:Issue 3(2022)
• Page Start: 1268
• Page End: 1281
• Publication Date: 2022-06-16
• Subjects: Identification through heteroscedasticity -- Proxy VAR -- Structural vector autoregression; Economics -- Statistical methods -- Periodicals; Commercial statistics -- Periodicals; Économie politique -- Méthodes statistiques -- Périodiques; Statistique commerciale -- Périodiques; 330.015195
• DOI: 10.1080/07350015.2021.1920962
• Languages: English
• ISSNs: 0735-0015

Abstract

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