Estimation of structural impulse responses: short-run versus long-run identifying restrictions

被引：4

作者：

Luetkepohl, Helmut ^{[1
,2
]}

Staszewska-Bystrova, Anna ^{[3
]}

Winker, Peter ^{[4
]}

机构：

[1] DIW Berlin, Mohrenstr 58, D-10117 Berlin, Germany

[2] Free Univ Berlin, Mohrenstr 58, D-10117 Berlin, Germany

[3] Univ Lodz, Rewolucji 1905r 41, PL-90214 Lodz, Poland

[4] Univ Giessen, Licher Str 64, D-35394 Giessen, Germany

来源：

ASTA-ADVANCES IN STATISTICAL ANALYSIS | 2018年 / 102卷 / 02期

关键词：

Impulse responses; Structural vector autoregressive model; Long-run multipliers; Short-run multipliers; VECTOR AUTOREGRESSIONS; CONFIDENCE BANDS; TECHNOLOGY; DEMAND; SHOCKS;

D O I：

10.1007/s10182-017-0300-9

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

There is evidence that estimates of long-run impulse responses of structural vector autoregressive (VAR) models based on long-run identifying restrictions may not be very accurate. This finding suggests that using short-run identifying restrictions may be preferable. We compare structural VAR impulse response estimates based on long-run and short-run identifying restrictions and find that long-run identifying restrictions can result in much more precise estimates for the structural impulse responses than restrictions on the impact effects of the shocks.

引用

页码：229 / 244

页数：16

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Anna Staszewska-Bystrova
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