Testing identification via heteroskedasticity in structural vector autoregressive models

DOI10.1093/ECTJ/UTAA008MaRDI QIDQ5083239zbMATH OpenOpenAlexFDO

Authors Mika Meitz, Aleksei Netšunajev, Pentti Saikkonen, Helmut Lütkepohl

Publication date 22 June 2022

Published in Econometrics Journal (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

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

zbMATH Keywords

heteroskedasticitystructural identificationvector autoregressive process

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited in

(6)

• Testing for identification in SVAR-GARCH models
• Heteroscedastic Proxy Vector Autoregressions
• Is U.S. real output growth non-normal? A tale of time-varying location and scale
• A Statistically Identified Structural Vector Autoregression with Endogenously Switching Volatility Regime
• Identification of structural shocks in Bayesian vector error correction models with two-state Markov-switching heteroskedasticity
• Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity

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