Testing identification via heteroskedasticity in structural vector autoregressive models

DOI10.1093/ECTJ/UTAA008OpenAlexW2899211508MaRDI QIDQ5083239FDOQ5083239

Aleksei Netšunajev, Mika Meitz, Helmut Lütkepohl, Pentti Saikkonen

Publication date: 22 June 2022

Published in: Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/ectj/utaa008

zbMATH Keywords

heteroskedasticityvector autoregressive processstructural identification

Mathematics Subject Classification ID

Statistics (62-XX)

Cited In (3)

• Heteroscedastic Proxy Vector Autoregressions
• Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity
• Testing for identification in SVAR-GARCH models

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