On Identifying Structural VAR Models via ARCH Effects

9 Pages Posted: 21 Aug 2010 Last revised: 1 Sep 2010

See all articles by George Milunovich

George Milunovich

Macquarie University - Department of Economics; Macquarie University, Macquarie Business School

Minxian Yang

UNSW Australia Business School, School of Economics

Date Written: 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).

Keywords: Identification, Structural VAR, GARCH

JEL Classification: C13, C32, C39

Suggested Citation

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

George Milunovich (Contact Author)

Macquarie University - Department of Economics ( email )

Sydney NSW 2109
Australia

Macquarie University, Macquarie Business School ( email )

New South Wales 2109
Australia

Minxian Yang

UNSW Australia Business School, School of Economics ( email )

School of Economics
The University of New South Wales
Sydney, NSW NSW 2052
Australia
93853353 (Phone)

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