Year: 2026
Type: article
Abstract: Summary This paper analyses possibly time-varying shock transmission in structural vector autoregressive (VAR) models when the reduced-form VAR coefficients are time invariant and the shocks are identified through non-Gaussianity. To check for possible time variation in the impulse responses, we propose Wald tests for two situations: (1) homoskedastic and (2) heteroskedastic structural shocks with changes in the unconditional variances. For the latter case, the challenge is to ensure that the test does not indicate time-varying impulse responses if the changes are due only to changes in the variances of the shocks. To illustrate the usefulness of the tests, they are applied to an empirical model of the crude-oil market. They support time-varying shock transmission reflected in impulse response functions that change over time.
Source: Econometrics Journal
DOI: 10.1093/ectj/utag001
Authors: Helmut Lütkepohl, Till Strohsal
Language: English
Subfield: Economics and Econometrics
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W7124131320