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On Identifying Structural VAR Models via ARCH Effects

  • Milunovich George

    ()

    (Macquarie University, North Ryde, NSW, 2109, Australia)

  • Yang Minxian

    ()

    (School of Economics, University of New South Wales, Kensington, NSW, 2052, Australia)

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.

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Article provided by De Gruyter in its journal Journal of Time Series Econometrics.

Volume (Year): 5 (2013)
Issue (Month): 2 (May)
Pages: 117-131

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Handle: RePEc:bpj:jtsmet:v:5:y:2013:i:2:p:117-131:n:5
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