Testing for identification in SVAR-GARCH models

DOI10.1016/j.jedc.2016.09.007zbMath1401.91469OpenAlexW2087085648MaRDI QIDQ1656455

George Milunovich, Helmut Lütkepohl

Publication date: 10 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2015-030.pdf

zbMATH Keywords

conditional heteroskedasticityGARCHstructural vector autoregressionidentification via heteroskedasticity

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Stochastic models in economics (91B70)

Related Items (4)

Do we reject restrictions identifying fiscal shocks? Identification based on non-Gaussian innovations ⋮ Inference in partially identified heteroskedastic simultaneous equations models ⋮ Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH ⋮ Structural vector autoregressions with smooth transition in variances

Uses Software

• JMulTi

Cites Work

• Unnamed Item
• Structural vector autoregressions with Markov switching
• On identifying structural VAR models via ARCH effects
• The Impact of Uncertainty Shocks
• Diagnostic checking of nonlinear multivariate time series with multivariate arch errors
• Maximum Likelihood Estimation of Misspecified Models
• Identification, estimation and testing of conditionally heteroskedastic factor models

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