Are spectral estimators useful for implementing long-run restrictions in SVARs?
AbstractNo, not really, since spectral estimators suffer from small sample and misspecification biases just as VARs do. Spectral estimators are no panacea for implementing long-run restrictions. ; In addition, when combining VAR coefficients with non-parametric estimates of the spectral density, care needs to be taken to consistently account for information embedded in the non-parametric estimates about serial correlation in VAR residuals. This paper uses a spectral factorization to ensure a correct representation of the data's variance. But this cannot overcome the fundamental problems of estimating the long-run dynamics of macroeconomic data in samples of typical length.
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Bibliographic InfoPaper provided by Board of Governors of the Federal Reserve System (U.S.) in its series Finance and Economics Discussion Series with number 2010-09.
Date of creation: 2010
Date of revision:
Other versions of this item:
- Elmar Mertens, 2008. "Are Spectral Estimators Useful for Implementing Long-Run Restrictions in SVARs?," Working Papers 08.01, Swiss National Bank, Study Center Gerzensee.
- NEP-ALL-2010-03-20 (All new papers)
- NEP-ECM-2010-03-20 (Econometrics)
- NEP-ETS-2010-03-20 (Econometric Time Series)
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- Christian Kascha & Karel Mertens, 2006.
"Business Cycle Analysis and VARMA models,"
Economics Working Papers
ECO2006/37, European University Institute.
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