Identification in structural VAR models with different volatility regimes
AbstractIn 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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Bibliographic InfoPaper 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.
Date of creation: 19 Dec 2011
Date of revision:
SVAR; heteroskedasticity; identiication;
Find related papers by JEL classification:
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
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