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

Author

Listed:
  • Helmut Lütkepohl

    (DIW Berlin and Freie Universität Berlin)

  • Anna Staszewska-Bystrova

    (University of Lodz)

  • Peter Winker

    (University of Giessen)

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.

Suggested Citation

  • Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2018. "Estimation of structural impulse responses: short-run versus long-run identifying restrictions," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 102(2), pages 229-244, April.
    • Handle: RePEc:spr:alstar:v:102:y:2018:i:2:d:10.1007_s10182-017-0300-9
    DOI: 10.1007/s10182-017-0300-9
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    More about this item

    Keywords

    Impulse responses; Structural vector autoregressive model; Long-run multipliers; Short-run multipliers;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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