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

被引：0

作者：

Helmut Lütkepohl

Anna Staszewska-Bystrova

Peter Winker

机构：

[1] DIW Berlin and Freie Universität Berlin,

[2] University of Lodz,undefined

[3] University of Giessen,undefined

来源：

AStA Advances in Statistical Analysis | 2018年 / 102卷

关键词：

Impulse responses; Structural vector autoregressive model; Long-run multipliers; Short-run multipliers; C32;

D O I：

暂无

中图分类号：

学科分类号：

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：15

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