Research Seminar by Prof. Dr. Helmut Lütkepohl (Freie Universit at Berlin & DIW Berlin)

On Thursday, May 29 at 4.40 pm International College of Economics and Finance held the Research Seminar.
Speaker: Prof. Dr. Helmut Lütkepohl (Freie Universitat Berlin & DIW Berlin)

Theme:  «Structural Vector Autoregressions: Checking Identifying Long-run Restrictions via Heteroskedasticity»
Venue: Shabolovka st., 26, room 3211

Abstract: Long-run restrictions have been used extensively for identifying structural shocks in vector autoregressive (VAR) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper reviews and contrasts the volatility models that have been used for this purpose. Three main approaches have been used, exogenously generated changes in the unconditional residual covariance matrix, changing volatility modelled by a Markov switching mechanism and multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models. Using changes in volatility for checking long-run identifying restrictions in structural VAR analysis is illustrated by reconsidering models for identifying fundamental components of stock prices.

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