Identifying Structural Vector Autoregressions Via Changes in Volatility☆This article was written while the author was a Bundesbank Professor at the Freie Universität Berlin. An earlier version of the paper was published as DIW Discussion Paper 1259 –http://www.diw.de/sixcms/detail.php?id=diw_0.1.c.412678.de

Helmut Lütkepohl

A chapter in VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims, 2013, vol. 32, pp 169-203 from Emerald Group Publishing Limited

Abstract: Identification of shocks of interest is a central problem in structural vector autoregressive (SVAR) modeling. Identification is often achieved by imposing restrictions on the impact or long-run effects of shocks or by considering sign restrictions for the impulse responses. In a number of articles changes in the volatility of the shocks have also been used for identification. The present study focuses on the latter device. Some possible setups for identification via heteroskedasticity are reviewed and their potential and limitations are discussed. Two detailed examples are considered to illustrate the approach.

Keywords: Markov switching model; vector autoregression; heteroskedasticity; vector GARCH; conditional heteroskedasticity; C32 (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:eme:aecozz:s0731-9053(2013)0000031005

DOI: 10.1108/S0731-9053(2013)0000031005

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