Inference for Structural Impulse Responses in SVAR-GARCH Models
نویسنده
چکیده
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 properties of our bootstrap method with those of two competing bootstrap methods via extensive Monte Carlo simulations. We also present a three-step estimation procedure of the parameters of the SVAR-GARCH model that promises numerical stability even in scenarios with small sample sizes and/or large dimensions.
منابع مشابه
Structural Vector Autoregressions with Nonnormal Residuals
In structural vector autoregressive (SVAR) models identifying restrictions for shocks and impulse responses are usually derived from economic theory or institutional constraints. Sometimes the restrictions are insufficient for identifying all shocks and impulse responses. In this paper it is pointed out that specific distributional assumptions can also help in identifying the structural shocks....
متن کاملA Critique of Structural VARs Using Business Cycle Theory∗
The main substantive finding of the recent structural vector autoregression literature with a differenced specification of hours (DSVAR) is that technology shocks lead to a fall in hours. Researchers have used these results to argue that business cycle models in which technology shocks lead to a rise in hours should be discarded. We evaluate the DSVAR approach by asking, is the specification de...
متن کاملGeneral–to–Specific Model Selection Procedures for Structural Vector Autoregressions
Structural vector autoregressive (SVAR) models have emerged as a dominant research strategy in empirical macroeconomics, but suffer from the large number of parameters employed and the resulting estimation uncertainty associated with their impulse responses. In this paper we propose general-to-specific model selection procedures to overcome these limitations. After showing that single-equation ...
متن کاملAre Structural VARs with Long-Run Restrictions Useful in Developing Business Cycle Theory?
The central finding of the recent structural vector autoregression (SVAR) literature with a differenced specification of hours is that technology shocks lead to a fall in hours. Researchers have used this finding to argue that real business cycle models are unpromising. We subject this SVAR specification to a natural economic test and show that when applied to data from a multiple-shock busines...
متن کاملIdentification and estimation of non-Gaussian structural vector autoregressions
Conventional structural vector autoregressive (SVAR) models with Gaussian errors are not identified, and additional identifying restrictions are typically imposed in applied work. We show that the Gaussian case is an exception in that a SVAR model whose error vector consists of independent non-Gaussian components is, without any additional restrictions, identified and leads to (essentially) uni...
متن کامل