Identifying Structural Vector Autoregressions Via Changes in Volatility
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This article was written while the author was a Bundesbank Professor at the Freie Universität Berlin. An earlier version of the paper was published as DIW Discussion Paper 1259 – http://www.diw.de/sixcms/detail.php?id=diw_0.1.c.412678.de
This article was written while the author was a Bundesbank Professor at the Freie Universität Berlin. An earlier version of the paper was published as DIW Discussion Paper 1259 –
ISBN: 978-1-78190-752-8
Publication date: 13 December 2013
Abstract
Identification of shocks of interest is a central problem in structural vector autoregressive (SVAR) modeling. Identification is often achieved by imposing restrictions on the impact or long-run effects of shocks or by considering sign restrictions for the impulse responses. In a number of articles changes in the volatility of the shocks have also been used for identification. The present study focuses on the latter device. Some possible setups for identification via heteroskedasticity are reviewed and their potential and limitations are discussed. Two detailed examples are considered to illustrate the approach.
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Acknowledgements
Acknowledgment
The author has benefitted from comments by Lutz Kilian, participants of a seminar at Instituto Universitário de Lisboa in September 2012, participants of the 12th Annual Advances in Econometrics Conference in Dallas, Texas, November 2012 and a seminar at the University of Sydney in February 2013.
Citation
Lütkepohl, H. (2013), "Identifying Structural Vector Autoregressions Via Changes in Volatility This article was written while the author was a Bundesbank Professor at the Freie Universität Berlin. An earlier version of the paper was published as DIW Discussion Paper 1259 –
Publisher
:Emerald Group Publishing Limited
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