Identification in structural VAR models with different volatility regimes

Emanuele Bacchiocchi

Departmental Working Papers from Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano

Abstract: In this paper we study the identification conditions in structural VAR models with different regimes of volatility. We propose a new specification that allows to address identification in the conventional likelihood-based setup. A formal general framework for identification is developped and it is proved that exact-identification assumptions in the standard SVAR literature appear here to be over-identified, and thus subject to statistical inference. The empirical relevance of the methodology is discussed through an empirical application concerning the relationships between term structure of interest rates and output growth.

Keywords: SVAR; heteroskedasticity; identiication (search for similar items in EconPapers)
JEL-codes: C01 C13 C30 C51 (search for similar items in EconPapers)
Date: 2011-12-19
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