Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/222858 
Year of Publication: 
2020
Series/Report no.: 
DIW Discussion Papers No. 1876
Publisher: 
Deutsches Institut für Wirtschaftsforschung (DIW), Berlin
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.
Subjects: 
structural vector autoregression
proxy VAR
identification through heteroskedasticity
JEL: 
C32
Document Type: 
Working Paper

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