Estimation of Structural Impulse Responses: Short-Run Versus Long-Run Identifying Restrictions

15 Pages Posted: 20 Feb 2017

See all articles by Helmut Lütkepohl

Helmut Lütkepohl

Free University of Berlin (FUB)

Anna Staszewska-Bystrova

University of Lodz, Department of Economics and Sociology

Peter Winker

University of Giessen - Department of Economics

Date Written: February 2017

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.

Keywords: Impulse responses, structural vector autoregressive model, longrun multipliers, short-run multipliers

JEL Classification: C32

Suggested Citation

Lütkepohl, Helmut and Staszewska-Bystrova, Anna and Winker, Peter, Estimation of Structural Impulse Responses: Short-Run Versus Long-Run Identifying Restrictions (February 2017). DIW Berlin Discussion Paper No. 1642. Available at SSRN: https://ssrn.com/abstract=2920543 or http://dx.doi.org/10.2139/ssrn.2920543

Helmut Lütkepohl (Contact Author)

Free University of Berlin (FUB)

Otto Suhr Institut for Political Science\
Ihnestrasse 21
Berlin
Germany

Anna Staszewska-Bystrova

University of Lodz, Department of Economics and Sociology ( email )

Narutowicza 65 str.
PL 90-131, Lodz
Poland

Peter Winker

University of Giessen - Department of Economics ( email )

Licher Str. 62
D-35394 Giessen, DE
Germany

HOME PAGE: http://wiwi.uni-giessen.de/home/oekonometrie/

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