Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/61422
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dc.contributor.authorLütkepohl, Helmuten_US
dc.contributor.authorNetsunajev, Alekseien_US
dc.date.accessioned2012-08-24en_US
dc.date.accessioned2012-08-27T12:53:19Z-
dc.date.available2012-08-27T12:53:19Z-
dc.date.issued2012en_US
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_US
dc.language.isoengen_US
dc.publisher|aDeutsches Institut für Wirtschaftsforschung (DIW) |cBerlinen_US
dc.relation.ispartofseries|aDIW Discussion Papers |x1195en_US
dc.subject.jelC32en_US
dc.subject.jelQ43en_US
dc.subject.ddc330en_US
dc.subject.keywordMarkov switching modelen_US
dc.subject.keywordvector autoregressionen_US
dc.subject.keywordheteroskedasticityen_US
dc.subject.keywordrude oil marketen_US
dc.titleDisentangling demand and supply shocks in the crude oil market: How to check sign restrictions in structural VARsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn722236018en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:diw:diwwpp:dp1195en_US

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