Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/149905
Authors: 
Lütkepohl, Helmut
Staszewska-Bystrova, Anna
Winker, Peter
Year of Publication: 
2017
Series/Report no.: 
DIW Discussion Papers 1642
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.
Subjects: 
impulse responses
structural vector autoregressive model
long-run multipliers
short-run multipliers
JEL: 
C32
Document Type: 
Working Paper

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