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

Tschernig, Rolf, Weber, Enzo and Weigand, Roland (2014) Long- versus medium-run identification in fractionally integrated VAR models. Economics Letters 122 (2), pp. 299-302.

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

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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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Item type:Article
Series of the University of Regensburg:Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft
Date:February 2014
Institutions:Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie > Lehrstuhl für Ökonometrie (Prof. Dr. Rolf Tschernig)
Identification Number:
ValueType
RePEc:bay:rdwiwi:122RePEc Handle
Classification:
NotationType
C32Journal of Economics Literature Classification
C50Journal of Economics Literature Classification
Keywords:Structural vector autoregression, long-run restriction, finite-horizon identification, fractional integration, impulse response function
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:29408

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