Journal article

Authors list: Lütkepohl, H; Staszewska-Bystrova, A; Winker, P

Publication year: 2018

Pages: 229-244

Journal: AStA Advances in Statistical Analysis

Volume number: 102

Issue number: 2

ISSN: 1863-8171

eISSN: 1863-818X

DOI Link: https://doi.org/10.1007/s10182-017-0300-9

Publisher: Springer

Abstract: 
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.

Harvard Citation style: Lütkepohl, H., Staszewska-Bystrova, A. and Winker, P. (2018) Estimation of structural impulse responses: short-run versus long-run identifying restrictions, AStA Advances in Statistical Analysis, 102(2), pp. 229-244. https://doi.org/10.1007/s10182-017-0300-9

APA Citation style: Lütkepohl, H., Staszewska-Bystrova, A., & Winker, P. (2018). Estimation of structural impulse responses: short-run versus long-run identifying restrictions. AStA Advances in Statistical Analysis. 102(2), 229-244. https://doi.org/10.1007/s10182-017-0300-9