Direkt zum Inhalt

Structural Vector Autoregressive Models with More Shocks than Variables Identified via Heteroskedasticity

Discussion Papers 1871, 10 S.

Helmut Lütkepohl


get_appDownload (PDF  277 KB)


In conventional structural vector autoregressive (VAR) 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. However, even if there is heteroskedasticity, the number of shocks that can be identified is limited. A number of results are provided that allow a researcher to assess how many shocks can be identified from specific forms of heteroskedasticity.

JEL-Classification: C32
Keywords: Structural vector autoregression, identification through heteroskedasticity, structural shocks
Frei zugängliche Version: (econstor)