Granger Centre Seminar: Helmut Lütkepohl (DIW Berlin)

Heteroskedastic proxy vector autoregressions (with Thore Schlaak)

Abstract. In proxy vector autoregressive models, the structural shocks of interest are identified by an instrument. Although heteroskedasticity is occasionally allowed for, 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.

All welcome.  For the zoom link, please email Hilary Hughes