Testing for identification in SVAR-GARCH models

descriptionPublicationkeyboard_double_arrow_right Article , Research , Preprint 01 Dec 2016 Germany English Publisher:Elsevier BVJournal:Journal of Economic Dynamics and Control, volume 73, pages 241-258 (issn: 0165-1889,

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Authors: Helmut Luetkepohl; George Milunovich;

doi: 10.1016/j.jedc.2016.09.007

handle: 10419/122011

Testing for identification in SVAR-GARCH models

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Abstract

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Germany

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Keywords

conditional heteroskedasticity, Structural vector autoregression, GARCH, ddc:330, Stochastic models in economics, 330 Wirtschaft, ddc:310, Structural vector autoregression, conditional heteroskedasticity, GARCH, identification via heteroskedasticity, structural vector autoregression, 310 Sammlungen allgemeiner Statistiken, Economic time series analysis, Time series, auto-correlation, regression, etc. in statistics (GARCH), identification via heteroskedasticity, C32, Applications of statistics to economics, jel: jel:C32

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