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Journal of Time Series Econometrics

Editor-in-Chief: Hidalgo, Javier

2 Issues per year


CiteScore 2017: 0.25

SCImago Journal Rank (SJR) 2017: 0.236
Source Normalized Impact per Paper (SNIP) 2017: 0.682

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1941-1928
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On Identifying Structural VAR Models via ARCH Effects

George Milunovich / Minxian Yang
Published Online: 2013-05-03 | DOI: https://doi.org/10.1515/jtse-2013-0010

Abstract: We consider the local identification of parameters in structural VAR models with ARCH type errors. By establishing a mapping between the structural and reduced-form models, we provide a set of sufficient conditions for the joint identification of all parameters. Under these conditions, as the structural parameters are identified, various restrictions on the parameters can be tested in a standard manner. For example, the significance test for the ARCH effect in the usual GARCH formulation for a structural shock does not suffer the complications caused by a lack of identification encountered in univariate GARCH models.

Keywords: structural vector autoregression; SVAR; ARCH; GARCH; local identification

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About the article

Published Online: 2013-05-03


Citation Information: Journal of Time Series Econometrics, Volume 5, Issue 2, Pages 117–131, ISSN (Online) 1941-1928, ISSN (Print) 2194-6507, DOI: https://doi.org/10.1515/jtse-2013-0010.

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