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

Helmut Lütkepohl, Anna Staszewska-Bystrova and Peter Winker

VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking from Verein für Socialpolitik / German Economic Association

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. 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.

JEL-codes: C32 (search for similar items in EconPapers)
Date: 2017
New Economics Papers: this item is included in nep-ets
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https://www.econstor.eu/bitstream/10419/168061/1/VfS-2017-pid-1838.pdf (application/pdf)

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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Persistent link: https://EconPapers.repec.org/RePEc:zbw:vfsc17:168061

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