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Erscheinungsjahr: 
2014
Schriftenreihe/Nr.: 
SFB 649 Discussion Paper No. 2014-009
Verlag: 
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, Berlin
Zusammenfassung: 
Long-run restrictions have been used extensively for identifying structural shocks in vector autoregressive (VAR) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper reviews and contrasts the volatility models that have been used for this purpose. Three main approaches have been used, exogenously generated changes in the unconditional residual covariance matrix, changing volatility modelled by a Markov switching mechanism and multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models. Using changes in volatility for checking long-run identifying restrictions in structural VAR analysis is illustrated by reconsidering models for identifying fundamental components of stock prices.
Schlagwörter: 
Vector autoregression
heteroskedasticity
vector GARCH
conditional heteroskedasticity
Markov switching model
JEL: 
C32
Dokumentart: 
Working Paper

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