Tschernig, Rolf and Weber, Enzo and Weigand, Roland (2014) Long- versus medium-run identification in fractionally integrated VAR models. ECONOMICS LETTERS, 122 (2). pp. 299-302. ISSN 0165-1765, 1873-7374
Full text not available from this repository. (Request a copy)Abstract
We state that long-run restrictions that identify structural shocks in VAR models with unit roots lose their original interpretation if the fractional integration order of the affected variable is below one. For such fractionally integrated models we consider a medium-run approach that employs restrictions on variance contributions over finite horizons. We show for alternative identification schemes that letting the horizon tend to infinity is equivalent to imposing the restriction of Blanchard and Quah (1989) introduced for the unit-root case. (C) 2013 Elsevier B.V. All rights reserved.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | IMPULSE RESPONSES; REAL OUTPUT; MEMORY; Structural vector autoregression; Long-run restriction; Finite-horizon identification; Fractional integration; Impulse response function |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie > Lehrstuhl für Ökonometrie (Prof. Dr. Rolf Tschernig) Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie > Lehrstuhl für Empirische Wirtschaftsforschung, insbesondere Makroökonomie und Arbeitsmarkt (Prof. Dr. Enzo Weber) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 28 Nov 2019 08:30 |
| Last Modified: | 28 Nov 2019 08:30 |
| URI: | https://pred.uni-regensburg.de/id/eprint/10729 |
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