Tschernig, Rolf and Weber, Enzo and Weigand, Roland (2013) Long-Run Identification in a Fractionally Integrated System. JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 31 (4). pp. 438-450. ISSN 0735-0015, 1537-2707
Full text not available from this repository. (Request a copy)Abstract
We propose an extension of structural fractionally integrated vector autoregressive models that avoids certain undesirable effects on the impulse responses that occur if long-run identification restrictions are imposed. We derive the model's Granger representation and investigate the effects of long-run restrictions. Simulations illustrate that enforcing integer integration orders can have severe consequences for impulse responses. In a system of U. S. real output and aggregate prices, the effects of structural shocks strongly depend on the specification of the integration orders. In the statistically preferred fractional model, shocks that are typically interpreted as demand disturbances have a very brief influence on GDP. Supplementary materials for this article are available online.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | OUTPUT; MEMORY; Fractional cointegration; Long memory; Misspecification; Structural VAR |
| 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: | 30 Mar 2020 05:59 |
| Last Modified: | 30 Mar 2020 05:59 |
| URI: | https://pred.uni-regensburg.de/id/eprint/15890 |
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