Changes in residual volatility in vector autoregressive (VAR) models can be used for identifying structural shocks in a structural VAR analysis. Testable conditions are given for full identification for the case where the volatility changes can be modelled by a multivariate GARCH process. Formal...

We investigate the identification problem in the setting of heteroskedastic structural vector autoregressions (SVARs) under two alternative normalizations: i) the <I>A</I>-model where a unit diagonal is imposed on the matrix of contemporaneous parameters, and ii) the <I>B</I>-model when the unconditional...</i></i>

Changes in residual volatility in vector autoregressive (VAR) models can be used for identifying structural shocks in a structural VAR analysis. Testable conditions are given for full identification for the case where the volatility changes can be modeled by a multivariate GARCH process. Formal...

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)