Estimation of Structural Impulse Responses: Short-Run Versus Long-Run Identifying Restrictions
15 Pages Posted: 20 Feb 2017
Date Written: February 2017
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.
Keywords: Impulse responses, structural vector autoregressive model, longrun multipliers, short-run multipliers
JEL Classification: C32
Suggested Citation: Suggested Citation