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Contribution Details

Type Working Paper
Scope Discipline-based scholarship
Title Inference for structural impulse responses in SVAR-GARCH models
Organization Unit
  • Stefan Bruder
  • English
Institution University of Zurich
Series Name Working paper series / Department of Economics
Number 281
ISSN 1664-7041
Number of Pages 34
Date 2018
Abstract Text 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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Keywords Bootstrap, conditional heteroskedasticity, multivariate GARCH, structural impulse responses, structural vector autoregression, Bootstrap-Statistik, Bereichsschätzung, Impulsantwort, Vektor-autoregressives Modell, ARCH-Prozess