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Long-run Identification in a Fractionally Integrated System

Tschernig, Rolf and Weber, Enzo and Weigand, Roland (2010) Long-run Identification in a Fractionally Integrated System. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 447, Working Paper, Regensburg.

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Abstract

We propose an extension of structural fractionally integrated vector autoregressive models that avoids certain undesirable effects for impulse responses if long-run identification restrictions are imposed. We derive its Granger representation, investigate the effects of long-run restrictions and clarify their relation to finite-horizon schemes. It is illustrated by asymptotic analysis and ...

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Item Type:Monograph (Working Paper)
Date:September 2010
Institutions:Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie > Lehrstuhl für Ökonometrie (Prof. Dr. Rolf Tschernig)
Research groups and research centres:Not selected
Identification Number:
ValueType
RePEc:bay:rdwiwi:16901RePEc Handle
Classification:
NotationType
C32Journal of Economics Literature Classification
E3Journal of Economics Literature Classification
Keywords:Long memory, structural VAR, misspecification, GDP, price level
Subjects:300 Social sciences > 330 Economics
Status:Published
Refereed:No, this version has not been refereed yet (as with preprints)
Created at the University of Regensburg:Yes
Owner: Prof. Dr. Rolf Tschernig
Deposited On:01 Oct 2010 08:14
Last Modified:07 Apr 2014 09:16
Item ID:16901

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