On Identifying Structural VAR Models via ARCH Effects

George Milunovich and Minxian Yang

Journal of Time Series Econometrics, 2013, vol. 5, issue 2, 117-131

Abstract: Abstract: We consider the local identification of parameters in structural VAR models with ARCH type errors. By establishing a mapping between the structural and reduced-form models, we provide a set of sufficient conditions for the joint identification of all parameters. Under these conditions, as the structural parameters are identified, various restrictions on the parameters can be tested in a standard manner. For example, the significance test for the ARCH effect in the usual GARCH formulation for a structural shock does not suffer the complications caused by a lack of identification encountered in univariate GARCH models.

Keywords: structural vector autoregression; SVAR; ARCH; GARCH; local identification (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (24)

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DOI: 10.1515/jtse-2013-0010

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