Long-Run Identification in a Fractionally Integrated System

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

Journal of Business & Economic Statistics, 2013, vol. 31, issue 4, 438-450

Abstract: We propose an extension of structural fractionally integrated vector autoregressive models that avoids certain undesirable effects on the impulse responses that occur if long-run identification restrictions are imposed. We derive the model's Granger representation and investigate the effects of long-run restrictions. Simulations illustrate that enforcing integer integration orders can have severe consequences for impulse responses. In a system of U.S. real output and aggregate prices, the effects of structural shocks strongly depend on the specification of the integration orders. In the statistically preferred fractional model, shocks that are typically interpreted as demand disturbances have a very brief influence on GDP. Supplementary materials for this article are available online.

Date: 2013
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Citations: View citations in EconPapers (14)

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Working Paper: Long-run Identification in a Fractionally Integrated System (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:taf:jnlbes:v:31:y:2013:i:4:p:438-450

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DOI: 10.1080/07350015.2013.812517

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