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- W3155374865 abstract "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." @default.
- W3155374865 created "2021-04-26" @default.
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- W3155374865 date "2020-01-01" @default.
- W3155374865 modified "2023-09-25" @default.
- W3155374865 title "Structural Vector Autoregressive Models with more Shocks than Variables Identified via Heteroskedasticity" @default.
- W3155374865 doi "https://doi.org/10.2139/ssrn.3610599" @default.
- W3155374865 hasPublicationYear "2020" @default.
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