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...

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>

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)

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...

Although Australia has an equivalently large trading relationship with Japan and the US, current macro models often incorporate only US variables in the external sector of Australia. This paper explores the consequences of including both US and Japanese effects in the international sector of a...