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

Helmut Lütkepohl, Anna Staszewska-Bystrova and Peter Winker

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.

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Year of publication:	2017
Authors:	Lütkepohl, Helmut ; Staszewska-Bystrova, Anna ; Winker, Peter
Publisher:	Berlin : DIW Berlin, German Institute for Economic Research
Subject:	Impulse responses \| structural vector autoregressive model \| long-run multipliers \| short-run multipliers \| VAR-Modell \| VAR model \| Multiplikator \| Multiplier \| Schätztheorie \| Estimation theory \| Schock \| Shock \| Schätzung \| Estimation \| Zeitreihenanalyse \| Time series analysis