Long run recursive VAR models and QR decompositions
AbstractLong-run recursive identification schemes are very popular in the structural VAR literature. This note suggests a two-step procedure based on QR decompositions as a solution algorithm for this type of identification problem. Our procedure will always deliver the exact solution and it is much easier to implement than a Newton-type iteration algorithm. It may therefore be very useful whenever quick and precise solutions of a long-run recursive schemes are required, e.g. in bootstrapping confidence intervals for impulse responses
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 73 (2001)
Issue (Month): 1 (October)
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Other versions of this item:
- Hoffmann, Mathias, 2000. "Long run recursive VAR models and QR decompositions," Discussion Paper Series In Economics And Econometrics 0015, Economics Division, School of Social Sciences, University of Southampton.
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