Alternative procedures for estimating vector autoregressions identified with long-run restrictions
AbstractWe show that the standard procedure for estimating long-run identified vector autoregressions uses a particular estimator of the zero-frequency spectral density matrix of the data. We develop alternatives to the standard procedure and evaluate the properties of these alternative procedures using Monte Carlo experiments in which data are generated from estimated real business cycle models. We focus on the properties of estimated impulse response functions. In our examples, the alternative procedures have better small sample properties than the standard procedure, with smaller bias, smaller mean square error and better coverage rates for estimated confidence intervals.
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Bibliographic InfoPaper provided by Board of Governors of the Federal Reserve System (U.S.) in its series International Finance Discussion Papers with number 842.
Date of creation: 2005
Date of revision:
Other versions of this item:
- Lawrence J. Christiano & Martin Eichenbaum & Robert Vigfusson, 2006. "Alternative Procedures for Estimating Vector Autoregressions Identified with Long-Run Restrictions," Journal of the European Economic Association, MIT Press, vol. 4(2-3), pages 475-483, 04-05.
- E24 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- O3 - Economic Development, Technological Change, and Growth - - Technological Change; Research and Development; Intellectual Property Rights
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-12-01 (All new papers)
- NEP-ECM-2005-12-01 (Econometrics)
- NEP-ETS-2005-12-01 (Econometric Time Series)
- NEP-MAC-2005-12-01 (Macroeconomics)
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