On identifying structural VAR models via ARCH effects

George Milunovich, Minxian Yang

Research output: Contribution to journalArticlepeer-review


We consider the local identification of parameters in structural VAR models with ARCH type errors. By establishing a mapping between the structural and reduced-form models, we provide a set of sufficient conditions for the joint identification of all parameters. Under these conditions, as the structural parameters are identified, various restrictions on the parameters can be tested in a standard manner. For example, the significance test for the ARCH effect in the usual GARCH formulation for a structural shock does not suffer the complications caused by a lack of identification encountered in univariate GARCH models.
Original languageEnglish
Pages (from-to)117-131
Number of pages15
JournalJournal of time series econometrics
Issue number2
Publication statusPublished - 2013


  • structural vector autoregression
  • SVAR
  • ARCH
  • local identification


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