On Identifying Structural VAR Models via ARCH Effects

In the framework of structural VAR models with ARCH effect, we show that a sufficient condition for the local identification of a structural model is that at most one structural shock is homoskedastic. Our approach is based on a result of Rothenberg (1971)

MoreLess

Year of publication:	2010
Authors:	Milunovich, George ; Yang, Minxian
Publisher:	[S.l.] : SSRN
Subject:	Schätzung \| Estimation \| VAR-Modell \| VAR model \| Schätztheorie \| Estimation theory \| ARCH-Modell \| ARCH model \| Schock \| Shock

freely available

Full text |

More access options

doi.org

Check Google Scholar

In German libraries (KVK)

I need help

Extent:	1 Online-Ressource (9 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 18, 2010 erstellt
Other identifiers:	10.2139/ssrn.1661507 [DOI]
Classification:	C13 - Estimation ; C32 - Time-Series Models ; C39 - Econometric Methods: Multiple/Simultaneous Equation Models. Other
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014192245