Identification in structural VAR models with different volatility regimes
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.
|Date of creation:||19 Dec 2011|
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