On Identifying Structural VAR Models via ARCH Effects
Abstract: 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.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 5 (2013)
Issue (Month): 2 (May)
|Contact details of provider:|| Web page: https://www.degruyter.com|
|Order Information:||Web: https://www.degruyter.com/view/j/jtse|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Todd Prono, 2008.
"GARCH-based identification and estimation of triangular systems,"
Risk and Policy Analysis Unit Working Paper
QAU08-4, Federal Reserve Bank of Boston.
- Todd, Prono, 2009. "GARCH-Based Identification and Estimation of Triangular Systems," MPRA Paper 20032, University Library of Munich, Germany.