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Structural vector autoregressive analysis aims to trace the contemporaneous linkages among multiple economic time series back to underlying orthogonal structural shocks. Traditionally, researchers rely on economically motivated restrictions to identify these shocks. However, in the presence of heteroskedasticity or non‐Gaussian independent components, only these statistical properties allow a locally unique identification. In this paper, we compare alternative statistical identification procedures under distinct covariance changes and distributional frameworks. We find that statistical identification schemes are robust under distinct data structures to some extent and support researchers in detecting shocks that feature an economic underpinning. The detection of independent components appears most flexible.
Structural vector autoregressive (SVAR) models are frequently applied to trace the contemporaneous linkages among (macroeconomic) variables back to an interplay of orthogonal structural shocks. Under Gaussianity the structural parameters are unidentified without additional (often external and not data-based) information. In contrast, the often reasonable assumption of heteroskedastic and/or non-Gaussian model disturbances offers the possibility to identify unique structural shocks. We describe the R package svars which implements statistical identification techniques that can be both heteroskedasticity-based or independence-based. Moreover, it includes a rich variety of analysis tools that are well known in the SVAR literature. Next to a comprehensive review of the theoretical background, we provide a detailed description of the associated R functions. Furthermore, a macroeconomic application serves as a step-by-step guide on how to apply these functions to the identification and interpretation of structural VAR models.
Multivariate GARCH models are widely used to model volatility and correlation dynamics of financial time series. These models are typically silent about the transmission of implied orthogonalized shocks to vector returns. We propose a loss statistic to discriminate in a data-driven way between alternative structural assumptions about the transmission scheme. In its structural form, a four dimensional system comprising US and Latin American stock market returns points to a substantial volatility transmission from the US to the Latin American markets. The identified structural model improves the estimation of classical measures of portfolio risk,as well as corresponding variations.
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