Identification through heteroskedasticity in heteroskedastic simultaneous equations models (HSEMs) is considered. The possibility that heteroskedasticity identifies the structural parameters only partially is explicitly allowed for. The asymptotic properties of the identified parameters are...

Identification through heteroskedasticity in heteroskedastic simultaneous equations models (HSEMs) is considered. The possibility that heteroskedasticity identifies the structural parameters only partially is explicitly allowed for. The asymptoticproperties of the identified parameters are...

We give a set of identifying conditions for simultaneous equation systems (SES) with heteroskedasticity in the framework of the Gaussian quasi maximum likelihood (QML) approach. Our conditions rely on the presence of heteroskedasticity rather than exclusion restrictions. The QML estimators are...

We give a set of identifying conditions for simultaneous equation systems (SES) with heteroskedasticity in the framework of the Gaussian quasi maximum likelihood (QML) approach. Our conditions rely on the presence of heteroskedasticity rather than exclusion restrictions. The QML estimators are...

We investigate the identification problem in the setting of heteroskedastic structural vector autoregressions (SVARs) under two alternative normalizations: i) the <I>A</I>-model where a unit diagonal is imposed on the matrix of contemporaneous parameters, and ii) the <I>B</I>-model when the unconditional...</i></i>

Changes in residual volatility in vector autoregressive (VAR) models can be used for identifying structural shocks in a structural VAR analysis. Testable conditions are given for full identification for the case where the volatility changes can be modelled by a multivariate GARCH process. Formal...

Changes in residual volatility in vector autoregressive (VAR) models can be used for identifying structural shocks in a structural VAR analysis. Testable conditions are given for full identification for the case where the volatility changes can be modelled by a multivariate GARCH process. Formal...