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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.

Suggested Citation

  • Emanuele BACCHIOCCHI, 2011. "Identification in structural VAR models with different volatility regimes," Departmental Working Papers 2011-39, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
  • Handle: RePEc:mil:wpdepa:2011-39
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    File URL: http://wp.demm.unimi.it/files/wp/2011/DEMM-2011_039wp.pdf
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    More about this item

    Keywords

    SVAR; heteroskedasticity; identiication;

    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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