Estimation of Structural Impulse Responses: Short-Run versus Long-Run Identifying Restrictions

Helmut Lütkepohl, Anna Staszewska-Bystrova and Peter Winker

No 1642, Discussion Papers of DIW Berlin from DIW Berlin, German Institute for Economic Research

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; longrun multipliers; short-run multipliers (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Pages: 12 p.
Date: 2017
New Economics Papers: this item is included in nep-ecm and nep-ets
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Related works:
Journal Article: Estimation of structural impulse responses: short-run versus long-run identifying restrictions (2018)
Working Paper: Estimation of Structural Impulse Responses: Short-Run versus Long-run Identifying Restrictions (2017)
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