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Long-run Identification in a Fractionally Integrated System

URN to cite this document:
urn:nbn:de:bvb:355-epub-169019
Tschernig, Rolf ; Weber, Enzo ; Weigand, Roland
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Date of publication of this fulltext: 01 Oct 2010 08:14


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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