Testing for Identifi cation in SVAR-GARCH Models – Reconsidering the Impact of Monetary Shocks on Exchange Rates

@inproceedings{Ltkepohl2015TestingFI,
  title={Testing for Identifi cation in SVAR-GARCH Models – Reconsidering the Impact of Monetary Shocks on Exchange Rates},
  author={Helmut L{\"u}tkepohl},
  year={2015}
}
Changes in residual volatility in vector autoregressive (VAR) models can be used for identifying structural shocks in a structural VAR analysis. Testable conditions are given for full identification for the case where the volatility changes can be modelled by a multivariate GARCH process. Formal statistical tests are presented for identification and their small sample properties are investigated via a Monte Carlo study. The tests are applied to investigate the validity of the identification… CONTINUE READING

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