HenU/INFER Workshop on Applied Macroeconomics 5.5
Program
November 6th - Day 2
KEYNOTE SPEECH
05:00 PM - 06:00 PM
Helmut Lütkepohl
Bundesbank Professor at the Freie Universität Berlin and Dean of the DIW Berlin Graduate Center
Heteroskedastic Proxy Vector Autoregressions
Heteroskedastic Proxy Vector Autoregressions
Helmut Lütkepohl (Freie Universität Berlin / DIW Berlin) / Thore Schlaak (DIW Berlin)
Abstract
In proxy vector autoregressive models, the structural shocks of interest are identified by an instrument. Although heteroskedasticity 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.