Working paper/research report

Publication year: 2017

URL: http://hdl.handle.net/10419/149905

Title of series: DIW Discussion Papers

Number in series: 1642

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.

Harvard Citation style: Lütkepohl, H., Staszewska-Bystrova, A. and Winker, P. (2017) Estimation of structural impulse responses: Short-run versus long-run identifying restrictions. (DIW Discussion Papers, 1642). Berlin: Deutsches Institut für Wirtschaftsforschung (DIW). http://hdl.handle.net/10419/149905

APA Citation style: Lütkepohl, H., Staszewska-Bystrova, A., & Winker, P. (2017). Estimation of structural impulse responses: Short-run versus long-run identifying restrictions. (DIW Discussion Papers, 1642). Deutsches Institut für Wirtschaftsforschung (DIW). http://hdl.handle.net/10419/149905