It is a great pleasure and an honor to announce that I wrote my first blog for APTECH with Eric Clower.
In this blog, we will look more closely at:
- Conditional heteroscedasticity.
- The impacts of conditional heteroscedasticity on SVAR models.
- Estimating structural impulse response functions (SIRF) in the presence of conditional heteroscedasticity.
- An application to the global oil market based on this publication.
Read the rest of the blog here: https://www.aptech.com/.
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[…] variance decompositions (VD). Let me remind that I already covered Local Projection with Stata and Moving Block Bootstrap with GAUSS using a similar dataset. The full code is available on my […]