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Long- versus medium-run identification in fractionally integrated VAR models

URN to cite this document:
urn:nbn:de:bvb:355-epub-294081
Tschernig, Rolf ; Weber, Enzo ; Weigand, Roland

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Date of publication of this fulltext: 27 Jan 2014 11:38


Abstract

We state that long-run restrictions that identify structural shocks in VAR models with unit roots lose their original interpretation if the fractional integration order of the affected variable is below one. For such fractionally integrated models we consider a medium-run approach that employs restrictions on variance contributions over finite horizons. We show for alternative identification ...

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