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1642 Estimation of Structural Impulse Responses: Short-Run versus Long-Run Identifying Restrictions Helmut Lütkepohl, Anna Staszewska-Bystrova, Peter Winker 2017 12 S.

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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.

JEL-Classification:

C32

Keywords:

Impulse responses, structural vector autoregressive model, longrun multipliers, short-run multipliers