What is it about?
Identification of macro structural shocks through volatility regimes
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Why is it important?
Changes in the error covariance matrix reflect in changes in the on-impact coefficients. Impulse response functions change across volatility regimes.
Perspectives
It is not a "statistical approach" to identification. The information stemming from the data is combined with economic information. No "labelling" issues here.
Professor Luca Fanelli
Universita degli Studi di Bologna
Read the Original
This page is a summary of: Identification in Structural Vector Autoregressive Models with Structural Changes, with an Application to US Monetary Policy, Oxford Bulletin of Economics and Statistics, February 2015, Wiley,
DOI: 10.1111/obes.12092.
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