Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/168061
Authors: 
Lütkepohl, Helmut
Staszewska-Bystrova, Anna
Winker, Peter
Year of Publication: 
2017
Series/Report no.: 
Beiträge zur Jahrestagung des Vereins für Socialpolitik 2017: Alternative Geld- und Finanzarchitekturen - Session: Time Series D17-V3
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. 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: 
C32
Document Type: 
Conference Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.