{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,5,9]],"date-time":"2026-05-09T06:10:43Z","timestamp":1778307043670,"version":"3.51.4"},"reference-count":28,"publisher":"Oxford University Press (OUP)","issue":"2","license":[{"start":{"date-parts":[[2026,1,14]],"date-time":"2026-01-14T00:00:00Z","timestamp":1768348800000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/academic.oup.com\/journals\/pages\/open_access\/funder_policies\/chorus\/standard_publication_model"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[2026,5,9]]},"abstract":"<jats:title>Summary<\/jats:title>\n                  <jats:p>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.<\/jats:p>","DOI":"10.1093\/ectj\/utag001","type":"journal-article","created":{"date-parts":[[2026,1,13]],"date-time":"2026-01-13T12:34:25Z","timestamp":1768307665000},"page":"239-255","source":"Crossref","is-referenced-by-count":0,"title":["Time-varying shock transmission in non-Gaussian structural vector autoregressions"],"prefix":"10.1093","volume":"29","author":[{"given":"Helmut","family":"L\u00fctkepohl","sequence":"first","affiliation":[{"name":"Freie Universit\u00e4t Berlin , Department of Economics, Boltzmannstr. 20, 14195 Berlin, Germany, and DIW Berlin, Anton-Wilhelm-Amo-Stra\u00dfe 58, 10117 Berlin ,","place":["Germany"]}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Till","family":"Strohsal","sequence":"additional","affiliation":[{"name":"Freie Universit\u00e4t Berlin Berlin School of Economics and Law, Department of Business and Economics, Badensche Str. 52, 10825 Berlin, Germany, and , Boltzmannstr. 20, 14195 Berlin ,","place":["Germany"]}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"286","published-online":{"date-parts":[[2026,1,14]]},"reference":[{"key":"2026050901264143300_bib1","doi-asserted-by":"crossref","first-page":"1742","DOI":"10.1016\/j.jmva.2005.10.005","article-title":"A multivariate nonparametric test of independence","volume":"97","author":"Bakirov","year":"2006","journal-title":"Journal of Multivariate Analysis"},{"issue":"4","key":"2026050901264143300_bib2","doi-asserted-by":"crossref","first-page":"115","DOI":"10.1257\/0895330042632708","article-title":"Oil and the macroeconomy since the 1970s","volume":"18","author":"Barsky","year":"2004","journal-title":"Journal of Economic Perspectives"},{"key":"2026050901264143300_bib3","doi-asserted-by":"crossref","first-page":"111416","DOI":"10.1016\/j.econlet.2023.111416","article-title":"Have the effects of shocks to oil price expectations changed? 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