Structural Vector Autoregressions: Checking Identifying Long-run Restrictions via Heteroskedasticity

Long-run restrictions have been used extensively for identifying structural shocks in vector autoregressive (VAR) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper reviews and contrasts the volatility models that have been used for this purpose. Three main approaches have been used, exogenously generated changes in the unconditional residual covariance matrix, changing volatility modelled by a Markov switching mechanism and multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models. Using changes in volatility for checking long-run identifying restrictions in structural VAR analysis is illustrated by reconsidering models for identifying fundamental components of stock prices.

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Year of publication:	2014
Authors:	Luetkepohl, Helmut ; Velinov, Anton
Publisher:	Munich : Center for Economic Studies and ifo Institute (CESifo)
Subject:	vector autoregression \| heteroskedasticity \| vector GARCH \| conditional heteroskedasticity \| Markov switching model

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Series:	CESifo Working Paper ; 4651
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	779715004 [GVK] hdl:10419/93386 [Handle] repec:ces:ceswps:_4651 [RePEc]
Classification:	C32 - Time-Series Models
Source:	EconStor

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010333366