Structural vector autoregressive models with more shocks than variables identified via heteroskedasticity

C-Tier
Journal: Economics Letters
Year: 2020
Volume: 195
Issue: C

Score contribution per author:

1.005 = (α=2.01 / 1 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

In conventional structural vector autoregressive 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. Results are provided that allow a researcher to assess how many shocks can be identified from specific forms of heteroskedasticity.

Technical Details

RePEc Handle
repec:eee:ecolet:v:195:y:2020:i:c:s0165176520302834
Journal Field
General
Author Count
1
Added to Database
2026-01-25