Identifying structural vector autoregressions via changes in volatility

DOI10.1108/S0731-9053(2013)0000031005MaRDI QIDQ3295727zbMATH OpenFDO

Authors Helmut Lütkepohl

Publication date 10 July 2020

Published in VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1108/S0731-9053(2013)0000031005

zbMATH Keywords

conditional heteroskedasticityheteroskedasticityMarkov switching modelvector autoregressionvector GARCH

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Markov processes: hypothesis testing (62M02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(14)

• A topological view on the identification of structural vector autoregressions
• On identifying structural VAR models via ARCH effects
• Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH
• Structural vector autoregressive models with more shocks than variables identified via heteroskedasticity
• Structural VARs, deterministic and stochastic trends: how much detrending matters for shock identification
• Structural vector autoregressions: theory of identification and algorithms for inference
• Change Point Detection with Multivariate Observations Based on Characteristic Functions
• Mode Identification of Volatility in Time-Varying Autoregression
• Structural vector autoregressions with Markov switching: combining conventional with statistical identification of shocks
• Identifying shocks via time-varying volatility
• Smooth-transition SVAR and external instrument: insights on the identifying assumptions
• Structural vector autoregressions with smooth transition in variances
• Identification and estimation of non-Gaussian structural vector autoregressions
• Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity

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