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Identification in structural VAR models with different volatility regimes

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  • Emanuele BACCHIOCCHI

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Abstract

In this paper we study the identification conditions in structural VAR models with different regimes of volatility. We propose a new specification that allows to address identification in the conventional likelihood-based setup. A formal general framework for identification is developped and it is proved that exact-identification assumptions in the standard SVAR literature appear here to be over-identified, and thus subject to statistical inference. The empirical relevance of the methodology is discussed through an empirical application concerning the relationships between term structure of interest rates and output growth.

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File URL: http://wp.demm.unimi.it/tl_files/wp/2011/DEMM-2011_039wp.pdf
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Bibliographic Info

Paper provided by Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano in its series Departmental Working Papers with number 2011-39.

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Date of creation: 19 Dec 2011
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Handle: RePEc:mil:wpdepa:2011-39

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Keywords: SVAR; heteroskedasticity; identiication;

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