Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/192890
Authors: 
Bruder, Stefan
Year of Publication: 
2018
Series/Report no.: 
Working Paper 281
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.
Subjects: 
Bootstrap
conditional heteroskedasticity
multivariate GARCH
structural impulse responses
structural vector autoregression
JEL: 
C12
C13
C32
Persistent Identifier of the first edition: 
Document Type: 
Working Paper
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