Lütkepohl, Helmut; Shang, Fei; Uzeda, Luis; Woźniak, … - 2025 - Last updated: May 9, 2025
We consider structural vector autoregressions that are identified through stochastic volatility. Our analysis focuses on whether a particular structural shock can be identified through heteroskedasticity without imposing any sign or exclusion restrictions. Three contributions emerge from our...