On identifying structural VAR models via ARCH effects

DOI10.1515/jtse-2013-0010zbMath1462.62728OpenAlexW3123774210MaRDI QIDQ1695560

George Milunovich, Minxian Yang

Publication date: 7 February 2018

Published in: Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/jtse-2013-0010

zbMATH Keywords

ARCHGARCHstructural vector autoregressionlocal identificationSVAR

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (3)

Testing for identification in SVAR-GARCH models ⋮ Bayesian analysis of structural correlated unobserved components and identification via heteroskedasticity ⋮ Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH

Cites Work

• Unnamed Item
• Structural vector autoregressions with Markov switching
• Estimating a class of triangular simultaneous equations models without exclusion restrictions
• Identification in Parametric Models
• Identification, estimation and testing of conditionally heteroskedastic factor models
• Handbook of econometrics. Vol. 4

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