) 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 …

corresponding Gaussian likelihood ratio test for the cointegrating rank. -- Cointegration ; structural break ; vector autoregressive …

rates are integrated of order one, one would expect to find three linearly independent cointegration relations in the system … series we find indeed the theoretically expected three cointegration relations, in contrast to previous studies based on … ; cointegration analysis …

A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive … in applications in this context. This study reviews the di erent volatility models and points out their advantages and …