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2015-06-10Buch DOI: 10.18452/4588
Testing for Identificationin SVAR-GARCH Models
dc.contributor.authorLuetkepohl, Helmut
dc.contributor.authorMilunovich, George
dc.date.accessioned2017-06-16T01:16:28Z
dc.date.available2017-06-16T01:16:28Z
dc.date.created2015-08-24
dc.date.issued2015-06-10
dc.date.submitted2015-06-10
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/5240
dc.description.abstractAbstract 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 conditions in a study of the effects of U.S. monetary policy on exchange rates. It is found that the data do not support full identification in most of the models considered, and the implied problems for the interpretation of the results are discussed.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectStructural vector autoregressioneng
dc.subjectGARCHeng
dc.subjectconditional heteroskedasticityeng
dc.subjectidentification via heteroskedasticityeng
dc.subject.ddc310 Statistik
dc.subject.ddc330 Wirtschaft
dc.titleTesting for Identificationin SVAR-GARCH Models
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100231890
dc.identifier.doihttp://dx.doi.org/10.18452/4588
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages32
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2015
local.edoc.container-issue30
local.edoc.container-year2015
local.edoc.container-erstkatid2195055-6

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