EconPapers    
Economics at your fingertips  
 

Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions via Heteroskedasticity

Helmut Lütkepohl () and Anton Velinov

EconStor Open Access Articles, 2016, 377-392

Abstract: Abstract Long-run restrictions have been used extensively for identifying structural shocks in vector autoregressive (VAR) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper reviews and contrasts the volatility models that have been used for this purpose. Three main approaches have been used, exogenously generated changes in the unconditional residual covariance matrix, changing volatility modelled by a Markov switching mechanism and multivariate generalized autoregressive conditional heteroskedasticity models. Using changes in volatility for checking long-run identifying restrictions in structural VAR analysis is illustrated by reconsidering models for identifying fundamental components of stock prices.

Keywords: vector autoregression; heteroskedasticity; vector GARCH; conditional heteroskedasticity; Markov switching model (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6) Track citations by RSS feed

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/180833/1/l ... _R1-HL_postprint.pdf (application/pdf)

Related works:
Journal Article: STRUCTURAL VECTOR AUTOREGRESSIONS: CHECKING IDENTIFYING LONG-RUN RESTRICTIONS VIA HETEROSKEDASTICITY (2016) Downloads
Working Paper: Structural Vector Autoregressions: Checking Identifying Long-run Restrictions via Heteroskedasticity (2014) Downloads
Working Paper: Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions via Heteroskedasticity (2014) Downloads
Working Paper: Structural Vector Autoregressions: Checking Identifying Long-run Restrictions via Heteroskedasticity (2014) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:espost:180833

Access Statistics for this article

More articles in EconStor Open Access Articles from ZBW - Leibniz Information Centre for Economics Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().

 
Page updated 2019-07-29
Handle: RePEc:zbw:espost:180833