#2558. Using time-varying volatility for identification in Vector Autoregressions: An application to endogenous uncertainty

December 2026publication date
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4 total number of authors per manuscript3510 $

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Journal’s subject area:
Economics and Econometrics;
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Abstract:
The article has developed a structural vector autoregression with stochastic volatility, in which one of the variables can affect both the mean value and the variance of other variables. We present conditional posterior distributions for this model, develop an MCMC algorithm for estimation, and show how stochastic volatility can be used to provide useful constraints for identifying structural shocks.
Keywords:
Bayesian methods; Causality; Endogeneity; Stochastic volatility

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