Estimation of Structural Impulse Responses: Short-Run versus Long-Run Identifying Restrictions

Aufsätze referiert extern - Web of Science 2 / 2018

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