On Identifying Structural VAR Models via ARCH Effects
Macquarie University - Department of Economics
University of New South Wales - Australian School of Business - School of Economics
August 18, 2010
In the framework of structural VAR models with ARCH effect, we show that a sufficient condition for the local identification of a structural model is that at most one structural shock is homoskedastic. Our approach is based on a result of Rothenberg (1971).
Number of Pages in PDF File: 9
Keywords: Identification, Structural VAR, GARCH
JEL Classification: C13, C32, C39working papers series
Date posted: August 21, 2010 ; Last revised: September 1, 2010
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo5 in 0.344 seconds