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Long-run Identification in a Fractionally Integrated System

Tschernig, Rolf, Weber, Enzo and Weigand, Roland (2013) Long-run Identification in a Fractionally Integrated System. Journal of Business and Economic Statistics 31 (4), pp. 438-450.

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Abstract

We propose an extension of structural fractionally integrated vector autoregressive models that avoids certain undesirable effects on the impulse responses that occur if long-run identification restrictions are imposed. We derive the model’s Granger representation and investigate the effects of long-run restrictions. Simulations illustrate that enforcing integer integration orders can have severe ...

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Item type:Article
Date:23 October 2013
Institutions:Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie > Lehrstuhl für Ökonometrie (Prof. Dr. Rolf Tschernig)
Interdisciplinary Subject Network:Not selected
Identification Number:
ValueType
10.1080/07350015.2013.812517DOI
Classification:
NotationType
C32Journal of Economics Literature Classification
E3Journal of Economics Literature Classification
Keywords:Long memory, structural VAR, misspecification, fractional cointegration
Dewey Decimal Classification:300 Social sciences > 330 Economics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Yes
Item ID:28454

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