VAR Volatitity Shifts
Posted: Wed Apr 11, 2012 8:33 am
Hi,
I'am estimating a structural VAR model, and I would like to pay attention to possible structural shifts that may have occurred, due to structurak break in the economy. These shifts may have arisen in two different ways: volatility shifts (i.e., heteroscedasticity, de- fined as changes in the variance of the structural shocks) and changes in the dynamic responses of the dependent variables to these shocks (i.e., regression parameter instability). Volatility-Shift Tests.
The Paper of Ahmed et al. followed the same way, I would like to know if there is Rats code that have already tackled this.
I'am estimating a structural VAR model, and I would like to pay attention to possible structural shifts that may have occurred, due to structurak break in the economy. These shifts may have arisen in two different ways: volatility shifts (i.e., heteroscedasticity, de- fined as changes in the variance of the structural shocks) and changes in the dynamic responses of the dependent variables to these shocks (i.e., regression parameter instability). Volatility-Shift Tests.
The Paper of Ahmed et al. followed the same way, I would like to know if there is Rats code that have already tackled this.