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econ.EM2024
Partial Identification of Structural Vector Autoregressions with Non-Centred Stochastic Volatility
Helmut Lütkepohl, Fei Shang, Luis Uzeda +1
We consider structural vector autoregressions that are identified through stochastic volatility under Bayesian estimation. Three contributions emerge from our exercise. First, we s…
econ.EM2018★ 7 cited
Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity
Helmut Lütkepohl, Tomasz Woźniak
In this study, Bayesian inference is developed for structural vector autoregressive models in which the structural parameters are identified via Markov-switching heteroskedasticity…