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Long-run Identification in a Fractionally Integrated System

Tschernig, Rolf ; Weber, Enzo ; Weigand, Roland

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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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