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.
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 simulations that enforcing integer integration orders can have severe consequences for impulse responses. In a system of US real output and aggregate prices effects of structural shocks strongly depend on integration order specification. In the statistically preferred fractional model the long-run restricted shock has only very short-lasting influence on GDP.
|Item Type:||Monograph (Working Paper)|
|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|
|Keywords:||Long memory, structural VAR, misspecification, GDP, price level|
|Subjects:||300 Social sciences > 330 Economics|
|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:||10 Jul 2013 12:11|
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