particular structural shock is identified by heteroskedasticity without the need to impose any sign or exclusion restrictions … prior ensures that the evidence for identifying a structural shock comes only from the data and is not favoured by the prior …

instruments is effective in recovering the underlying shock. In contrast, identification based on recursive schemes and … shocks. Using a Monte-Carlo experiment, we show that identification based on sign and quantity restrictions and via external … heteroscedasticity suffer from a number of biases. When applied to US data, the estimates from the best performing VAR models indicate …

deploy Bayesian Markov-switching structural vector autoregressive (MS-SVAR) model identified via heteroskedasticity. In …

parameters of structural vector autoregressive (SVAR) models. Economic theory is the primary source of such restrictions. However … just-identified SVAR models. In this study, Bayesian inference is developed for SVAR models in which the structural … parameters are identified via Markov-switching heteroskedasticity. In such a model, restrictions that are just-identifying in the …