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- URN zum Zitieren dieses Dokuments:
- urn:nbn:de:bvb:355-epub-169019
- DOI zum Zitieren dieses Dokuments:
- 10.5283/epub.16901
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Zusammenfassung
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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