Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/128052 
Autor:innen: 
Erscheinungsjahr: 
2008
Schriftenreihe/Nr.: 
Working Paper No. 08.01
Verlag: 
Swiss National Bank, Study Center Gerzensee, Gerzensee
Zusammenfassung: 
No, not really. Responding to lingering concerns about the reliability of SVARs, Christiano et al (NBER Macro Annual, 2006, "CEV") propose to combine OLS estimates of a VAR with a spectral estimate of long-run variance. In principle, this could help alleviate specification problems of SVARs in identifying long-run shocks. But in practice, spectral estimators suffer from small sample biases similar to those from VARs. Moreover, the spectral estimates contain information about serial correlation in VAR residuals and the VAR dynamics must be adjusted accordingly. Otherwise, a naive application of the CEV procedure would misrepresent the data's variance.
Schlagwörter: 
Structural VAR
Long-Run Identification
Non-parametric Estimation
Factorization of Spectral Density
JEL: 
C32
E17
Dokumentart: 
Working Paper

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