Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/61422 
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dc.contributor.authorLütkepohl, Helmuten
dc.contributor.authorNetsunajev, Alekseien
dc.date.accessioned2012-08-24-
dc.date.accessioned2012-08-27T12:53:19Z-
dc.date.available2012-08-27T12:53:19Z-
dc.date.issued2012-
dc.identifier.urihttp://hdl.handle.net/10419/61422-
dc.description.abstractGiven the growing dissatisfaction with exclusion and long-run restrictions in structural vector autoregressive analysis, sign restrictions are becoming increasingly popular. So far there are no techniques for validating the shocks identified via such restrictions. Although in an ideal setting the sign restrictions specify shocks of interest, sign restrictions may be invalidated by measurement errors, data adjustments or omitted variables. We model changes in the volatility of the shocks via a Markov switching (MS) mechanism and use this devise to give the data a chance to object to sign restrictions. The approach is illustrated by considering a small model for the market of crude oil.en
dc.language.isoengen
dc.publisher|aDeutsches Institut für Wirtschaftsforschung (DIW) |cBerlinen
dc.relation.ispartofseries|aDIW Discussion Papers |x1195en
dc.subject.jelC32en
dc.subject.jelQ43en
dc.subject.ddc330en
dc.subject.keywordMarkov switching modelen
dc.subject.keywordvector autoregressionen
dc.subject.keywordheteroskedasticityen
dc.subject.keywordrude oil marketen
dc.titleDisentangling demand and supply shocks in the crude oil market: How to check sign restrictions in structural VARs-
dc.typeWorking Paperen
dc.identifier.ppn722236018en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:diw:diwwpp:dp1195en

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