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

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: DIW Discussion Papers ; No. 1642

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
• Subject: impulse responses ; structural vector autoregressive model ; long-run multipliers ; short-run multipliers

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Lütkepohl, Helmut ; Staszewska-Bystrova, Anna ; Winker, Peter
• Event: Veröffentlichung
• (who): Deutsches Institut für Wirtschaftsforschung (DIW)
• (where): Berlin
• (when): 2017

Further information

• Handle: http://hdl.handle.net/10419/149905
• Last update: 10.03.2025, 11:44 AM CET