Structural vector autoregressive models with more shocks than variables identified via heteroskedasticity

Helmut Lütkepohl

In conventional structural vector autoregressive (VAR) models it is assumed that there are at most as many structural shocks as there are variables in the model. It is pointed out that heteroskedasticity can be used to identify more shocks than variables. However, even if there is heteroskedasticity, the number of shocks that can be identiﬁed is limited. A number of results are provided that allow a researcher to assess how many shocks can be identiﬁed from speciﬁc forms of heteroskedasticity.

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Year of publication:	2020
Authors:	Lütkepohl, Helmut
Publisher:	Berlin : DIW Berlin, German Institute for Economic Research
Subject:	Structural vector autoregression \| identification through heteroskedasticity \| structural shocks \| VAR-Modell \| VAR model \| Schock \| Shock \| Heteroskedastizität \| Heteroscedasticity \| Theorie \| Theory \| Schätzung \| Estimation \| Geldpolitik \| Monetary policy