Long- versus medium-run identification in fractionally integrated VAR models

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

No 122, University of Regensburg Working Papers in Business, Economics and Management Information Systems from University of Regensburg, Department of Economics

Abstract: We state that long-run restrictions that identify structural shocks in VAR models with unit roots lose their original interpretation if the fractional integration order of the affected variable is below one. For such fractionally integrated models we consider a medium-run approach that employs restrictions on variance contributions over finite horizons. We show for alternative identification schemes that letting the horizon tend to infinity is equivalent to imposing the restriction of Blanchard and Quah (1989) introduced for the unit-root case.

Keywords: Structural vector autoregression; long-run restriction; finite-horizon identification; fractional integration; impulse response function (search for similar items in EconPapers)
JEL-codes: C32 C50 (search for similar items in EconPapers)
Date: 2014-02
New Economics Papers: this item is included in nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Long- versus medium-run identification in fractionally integrated VAR models (2014)
Working Paper: Long- versus medium-run identification in fractionally integrated VAR models (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:bay:rdwiwi:29408

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