Testing for Co-Integration in Vector Autoregressions with Non-Stationary Volatility
نویسندگان
چکیده
منابع مشابه
Identifying Structural Vector Autoregressions via Changes in Volatility
Identification of shocks of interest is a central problem in structural vector autoregressive (SVAR) modelling. Identification is often achieved by imposing restrictions on the impact or long-run effects of shocks or by considering sign restrictions for the impulse responses. In a number of articles changes in the volatility of the shocks have also been used for identification. The present stud...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2008
ISSN: 1556-5068
DOI: 10.2139/ssrn.1264907