Long-run Identification in a Fractionally Integrated System

Rolf Tschernig (), Enzo Weber and Roland Weigand
Authors registered in the RePEc Author Service: Roland Jucknewitz

No 447, University of Regensburg Working Papers in Business, Economics and Management Information Systems from University of Regensburg, Department of Economics

Abstract: We propose an extension of structural fractionally integrated vector autoregressive models that avoids certain undesirable effects for impulse responses if long-run identification restrictions are imposed. We derive its Granger representation, investigate the effects of long-run restrictions and clarify their relation to finite-horizon schemes. It is illustrated by asymptotic analysis and simulations that enforcing integer integration orders can have severe consequences for impulse responses. In a system of US real output and aggregate prices effects of structural shocks strongly depend on integration order specification. In the statistically preferred fractional model the long-run restricted shock has only very short-lasting influence on GDP.

Keywords: Long memory; structural VAR; misspecification; GDP; price level (search for similar items in EconPapers)
JEL-codes: C32 E3 (search for similar items in EconPapers)
Date: 2010-09
New Economics Papers: this item is included in nep-cmp, nep-ecm and nep-ets
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Citations: View citations in EconPapers (3)

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https://epub.uni-regensburg.de/16901/2/Eppendix_IdentSFVAR_DP447.pdf (application/pdf)

Related works:
Journal Article: Long-Run Identification in a Fractionally Integrated System (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:bay:rdwiwi:16901

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