Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/119426
Authors: 
Lütkepohl, Helmut
Netšunajev, Aleksei
Year of Publication: 
2015
Series/Report no.: 
SFB 649 Discussion Paper 2015-015
Abstract: 
A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive (VAR) analysis. A number of di erent models for heteroskedasticity or conditional heteroskedasticity are proposed and used in applications in this context. This study reviews the di erent volatility models and points out their advantages and drawbacks. It thereby enables researchers wishing to use identi cation of structural VAR models via heteroskedasticity to make a more informed choice of a suitable model for a speci c empirical analysis. An application investigating the interaction between U.S. monetary policy and the stock market is used to illustrate the related issues.
Subjects: 
structural vector autoregression
identification via heteroskedasticity
conditional heteroskedasticity
smooth transition
Markov switching
GARCH
JEL: 
C32
Document Type: 
Working Paper

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