Estimation of structural impulse responses: short-run versus long-run identifying restrictions

Helmut Lütkepohl, Anna Staszewska-Bystrova and Peter Winker

AStA Advances in Statistical Analysis, 2018, vol. 102, issue 2, No 5, 229-244

Abstract: 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.

Keywords: Impulse responses; Structural vector autoregressive model; Long-run multipliers; Short-run multipliers (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (2)

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Related works:
Working Paper: Estimation of Structural Impulse Responses: Short-Run versus Long-Run Identifying Restrictions (2017)
Working Paper: Estimation of Structural Impulse Responses: Short-Run versus Long-run Identifying Restrictions (2017)
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DOI: 10.1007/s10182-017-0300-9

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