Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH

Inference for Structural Impulse Responses in SVAR-GARCH Models

Conditional heteroskedasticity can be exploited to identify the structural vector autoregressions (SVAR) but the implications for inference on structural impulse responses have not been investigated in detail yet. We consider the conditionally heteroskedastic SVAR-GARCH model and propose a bootstrap-based inference procedure on structural impulse responses. We compare the finite-sample properti...

Causal Search in Structural Vector Autoregressive Models

This paper reviews a class of methods to perform causal inference in the framework of a structural vector autoregressive model. We consider three different settings. In the first setting the underlying system is linear with normal disturbances and the structural model is identified by exploiting the information incorporated in the partial correlations of the estimated residuals. Zero partial co...

Impulse-Response Analysis in Markov Switching Vector Autoregressive Models

By utilizing the state-space representation of Markov-switching vector autoregressive models, we develop impulse response functions with regards to shocks to variables of the system The proposed analysis in related to the concept of generalized impulse responses introduced by Koop, Pesaran and Potter (1996) but characterizes the properties of the model dynamics in a more concise form. In contra...

Impulse Response Analysis of Vector Autoregressive Processes

We are grateful to Bernard Hanzon for helpful comments. The research for this paper was carried out within Sonderforschungsbereich 373 at the Humboldt University Berlin and was printed using funds made available by the Deutsche Forschungsgemeinschaft.

Vector Autoregressive Models