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Structural Vector Autoregressions with Heteroskedasticity - A Comparison of Different Volatility Models

Listed author(s):
  • Helmut Luetkepohl
  • Aleksei NetÅ¡unajev

A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive (VAR) analysis. A number of different models for heteroskedasticity or conditional heteroskedasticity are proposed and used in applications in this context. This study reviews the different volatility models and points out their advantages and drawbacks. It thereby enables researchers wishing to use identification of structural VAR models via heteroskedasticity to make a more informed choice of a suitable model for a specific empirical analysis. An application investigating the interaction between U.S. monetary policy and the stock market is used to illustrate the related issues.

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Paper provided by CESifo Group Munich in its series CESifo Working Paper Series with number 5308.

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Date of creation: 2015
Handle: RePEc:ces:ceswps:_5308
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  25. Lanne, Markku & Lütkepohl, Helmut, 2010. "Structural Vector Autoregressions With Nonnormal Residuals," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(1), pages 159-168.
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