Tschernig, Rolf and Weber, Enzo and Weigand, Roland
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 ...
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Long-run Identification in a Fractionally Integrated System. (deposited 01 Oct 2010 08:14)