A Statistically Identified Structural Vector Autoregression with Endogenously Switching Volatility Regime
具有内生波动率状态切换的统计识别结构向量自回归
We introduce a structural vector autoregressive model with endogenously switching conditional covariance matrix.The structural shocks are identified by simultaneously diagonalizing the reduced form error covariance matrices.It is not, however, always clear whether the condition for the full statistical identification is satisfied, and its validity is difficult to justify formally.Therefore, we provide general sets of conditions, that allow to combine sign and zero…