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Structural vector autoregressive models with more shocks than variables identified via heteroskedasticity
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| Authors and Corporations: | |
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| Type of Resource: | E-Book |
| Language: | English |
| published: |
Berlin
DIW Berlin, German Institute for Economic Research
2020
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| Series: |
Deutsches Institut für Wirtschaftsforschung: Discussion papers ; 1871
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| Source: | Verbunddaten SWB Lizenzfreie Online-Ressourcen |
| Summary: | 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. |
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| Physical Description: | 1 Online-Ressource (circa 12 Seiten) |