On Identifying Structural VAR Models via ARCH Effects
9 Pages Posted: 21 Aug 2010 Last revised: 1 Sep 2010
Date Written: 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).
Keywords: Identification, Structural VAR, GARCH
JEL Classification: C13, C32, C39
Suggested Citation: Suggested Citation