Justyna Wróblewska, Łukasz Kwiatkowski
arXiv 5 Jun 2024 · Econometrics
arXiv:2406.03053 · PDF · DOI · OpenAlex · Extracted main text
We develop a Bayesian framework for cointegrated structural VAR models identified by two-state Markovian breaks in conditional covariances. The resulting structural VEC specification with Markov-switching heteroskedasticity (SVEC-MSH) is formulated in the so-called B-parameterization, in which the prior distribution is specified directly for the matrix of the instantaneous reactions of the endogenous variables to structural innovations. We discuss some caveats pertaining to the identification conditions presented earlier in the literature on stationary structural VAR-MSH models, and revise the restrictions to actually ensure the unique global identification through the two-state heteroskedasticity. To enable the posterior inference in the proposed model, we design an MCMC procedure, combining the Gibbs sampler and the Metropolis-Hastings algorithm. The methodology is illustrated both with a simulated as well as real-world data examples.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Lütkepohl, H., Velinov, A (2016) Structural vector autoregressions: Checking identifying long-run restrictions via heteroskedasticity | 1.000 | 14 | 4 | 100% |
| 2 | Lütkepohl, H., Woźniak, T (2020) Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity | 0.983 | 20 | 6 | 95% |
| 3 | Lanne, M., Lütkepohl, H., Maciejowska, K (2010) Structural vector autoregressions with Markov switching | 0.941 | 6 | 3 | 83% |
| 4 | Binswanger, M (2004) How do stock prices respond to fundamental shocks? | 0.874 | 7 | 2 | 100% |
| 5 | Velinov, A (2013) Can stock price fundamentals properly be captured? Using Markov switching in heteroskedasticity models to test identification sc… | 0.874 | 7 | 2 | 100% |
| 6 | Louis, R.J., Eldomiaty, T (2010) How do stock prices respond to fundamental shocks in the case of the United States? Evidence from NASDAQ and DJIA | 0.874 | 5 | 2 | 100% |
| 7 | Lütkepohl, H (2005) New introduction to multiple time series analysis | 0.874 | 5 | 2 | 100% |
| 8 | Jochmann, M., Koop, G (2015) Regime-switching cointegration | 0.811 | 4 | 2 | 100% |
| 9 | Herwartz, H., Lütkepohl, H (2014) Structural vector autoregressions with Markov switching: Combining conventional with statistical identification of shocks | 0.737 | 3 | 2 | 100% |
| 10 | Kilian, L., Lütkepohl, H (2017) Structural vector autoregressive analysis | 0.737 | 3 | 2 | 100% |
Showing the top 10 of 52 scored citations.