Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/259562 
Year of Publication: 
2022
Series/Report no.: 
DIW Discussion Papers No. 2005
Publisher: 
Deutsches Institut für Wirtschaftsforschung (DIW), Berlin
Abstract: 
We propose a test for time-varying impulse responses in heteroskedastic structural vector autoregressions that can be used when the shocks are identified by external proxy variables as a group. The test can be used even if the shocks are not identified individually. The asymptotic analysis is supported by small sample simulations which show good properties of the test. An investigation of the impact of productivity shocks in a small macroeconomic model for the U.S. illustrates the importance of the issue for empirical work.
Subjects: 
Structural vector autoregression
proxy VAR
heteroskedasticity
productivity shocks
JEL: 
C32
Document Type: 
Working Paper

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