On Identifying Structural VAR Models via ARCH Effects
AbstractAbstract: We consider the local identification of parameters in structural VAR models with ARCH type errors. By establishing a mapping between the structural and reduced-form models, we provide a set of sufficient conditions for the joint identification of all parameters. Under these conditions, as the structural parameters are identified, various restrictions on the parameters can be tested in a standard manner. For example, the significance test for the ARCH effect in the usual GARCH formulation for a structural shock does not suffer the complications caused by a lack of identification encountered in univariate GARCH models.
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Bibliographic InfoArticle provided by De Gruyter in its journal Journal of Time Series Econometrics.
Volume (Year): 5 (2013)
Issue (Month): 2 (May)
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Web page: http://www.degruyter.com
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- Dungey, Mardi & Milunovich, George & Thorp, Susan & Yang, Minxian, 2012.
"Endogenous crisis dating and contagion using smooth transition structural GARCH,"
15030, University of Tasmania, School of Economics and Finance, revised 29 Aug 2012.
- Mardi Dungey & George Milunovich & Susan Thorp & Minxian Yang, 2012. "Endogenous Crisis Dating and Contagion Using Smooth Transition Structural GARCH," Research Paper Series 312, Quantitative Finance Research Centre, University of Technology, Sydney.
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