Publikationen des DIW Berlin

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Aufsätze referiert extern - ISI

Estimation of Structural Impulse Responses: Short-Run versus Long-Run Identifying Restrictions Helmut Lütkepohl, Anna Staszewska-Bystrova, Peter Winker In: AStA Advances in Statistical Analysis 102 (2018), 2, S. 229-244

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, Long-run multipliers, Short-run multipliers