Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/218992 
Year of Publication: 
2020
Series/Report no.: 
DIW Discussion Papers No. 1871
Publisher: 
Deutsches Institut für Wirtschaftsforschung (DIW), Berlin
Abstract: 
In conventional structural vector autoregressive (VAR) models it is assumed that there are at most as many structural shocks as there are variables in the model. It is pointed out that heteroskedasticity can be used to identify more shocks than variables. However, even if there is heteroskedasticity, the number of shocks that can be identified is limited. A number of results are provided that allow a researcher to assess how many shocks can be identified from specific forms of heteroskedasticity.
Subjects: 
structural vector autoregression
identification through heteroskedasticity
structural shocks
JEL: 
C32
Document Type: 
Working Paper

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