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On Identifying Structural VAR Models via ARCH Effects


George Milunovich


Macquarie University - Department of Economics

Minxian Yang


University of New South Wales - Australian School of Business - School of Economics
August 18, 2010


Abstract:     
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, C39

working papers series


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Date posted: August 21, 2010 ; Last revised: September 1, 2010

Suggested Citation

Milunovich, George and Yang, Minxian, On Identifying Structural VAR Models via ARCH Effects (August 18, 2010). Available at SSRN: http://ssrn.com/abstract=1661507 or http://dx.doi.org/10.2139/ssrn.1661507

Contact Information

George Milunovich (Contact Author)
Macquarie University - Department of Economics ( email )
Sydney NSW 2109
Australia
Minxian Yang
University of New South Wales - Australian School of Business - School of Economics ( email )
School of Economics
The University of New South Wales
Sydney, NSW NSW 2052
Australia
93853353 (Phone)
Feedback to SSRN (Beta)


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