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Inference for structural impulse responses in SVAR-GARCH models


Bruder, Stefan (2018). Inference for structural impulse responses in SVAR-GARCH models. Working paper series / Department of Economics 281, University of Zurich.

Abstract

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.

Abstract

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.

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Additional indexing

Item Type:Working Paper
Communities & Collections:03 Faculty of Economics > Department of Economics
Working Paper Series > Department of Economics
Dewey Decimal Classification:330 Economics
JEL Classification:C12, C13, C32
Uncontrolled Keywords:Bootstrap, conditional heteroskedasticity, multivariate GARCH, structural impulse responses, structural vector autoregression
Language:English
Date:April 2018
Deposited On:04 Apr 2018 12:23
Last Modified:31 Jul 2018 06:17
Series Name:Working paper series / Department of Economics
Number of Pages:34
ISSN:1664-7041
OA Status:Green
Official URL:http://www.econ.uzh.ch/static/wp/econwp281.pdf
Related URLs:http://www.econ.uzh.ch/static/workingpapers.php

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