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Long run recursive VAR models and QR decompositions

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  • Hoffmann, Mathias

Abstract

Long-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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File URL: http://eprints.soton.ac.uk/33116/1/0015.pdf
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Bibliographic Info

Paper provided by Economics Division, School of Social Sciences, University of Southampton in its series Discussion Paper Series In Economics And Econometrics with number 0015.

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Date of creation: 01 Jan 2000
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Handle: RePEc:stn:sotoec:0015

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  1. Faust, Jon & Leeper, Eric M, 1997. "When Do Long-Run Identifying Restrictions Give Reliable Results?," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(3), pages 345-53, July.
  2. Richard Clarida & Jordi Gali, 1994. "Sources of Real Exchange Rate Fluctuations: How Important are Nominal Shocks?," NBER Working Papers 4658, National Bureau of Economic Research, Inc.
  3. Olivier Jean Blanchard & Danny Quah, 1988. "The Dynamic Effects of Aggregate Demand and Supply Disturbance," Working papers 497, Massachusetts Institute of Technology (MIT), Department of Economics.
  4. Ahmed, Shaghil & Ickes, Barry W. & Ping Wang & Byung Sam Yoo, 1993. "International Business Cycles," American Economic Review, American Economic Association, vol. 83(3), pages 335-59, June.
  5. John H. Rogers, 1998. "Monetary shocks and real exchange rates," International Finance Discussion Papers 612, Board of Governors of the Federal Reserve System (U.S.).
  6. Weber, Axel A., 1997. "Sources of Purchasing Power Disparities between the G3 Economies," Journal of the Japanese and International Economies, Elsevier, vol. 11(4), pages 548-583, December.
  7. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501, September.
  8. Weber, Axel A., 1997. "Sources of Purchasing Power Disparities Between the G3-Economies," Discussion Paper Serie B 419, University of Bonn, Germany.
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Cited by:
  1. Jaromir Benes & David Vavra, 2004. "Eigenvalue Decomposition of Time Series with Application to the Czech Business Cycle," Working Papers 2004/08, Czech National Bank, Research Department.
  2. Mathias Hoffmann & Wei Liao, 2011. "The Cross-Section of Country News, Decoupling Expectations, and Global Business Cycles," Working Papers 342011, Hong Kong Institute for Monetary Research.
  3. Britta Hamburg & Mathias Hoffmann & Joachim Keller, 2008. "Consumption, wealth and business cycles in Germany," Empirical Economics, Springer, vol. 34(3), pages 451-476, June.
  4. Hoffmann, Mathias, 2006. "Proprietary Income, Entrepreneurial Risk, and the Predictability of U.S. Stock Returns," Technical Reports 2006,14, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  5. Mathias Hoffmann & Ulrich Woitek, 2011. "Emerging from the war: Gold Standard mentality, current accounts and the international business cycle 1885-1939," ECON - Working Papers 057, Department of Economics - University of Zurich.
  6. Beneš, Jaromír & Vávra, David, 2005. "Eigenvalue filtering in VAR models with application to the Czech business cycle," Working Paper Series 0549, European Central Bank.
  7. Hamburg, Britta & Hoffmann, Mathias & Keller, Joachim, 2005. "Consumption, wealth and business cycles: why is Germany different?," Discussion Paper Series 1: Economic Studies 2005,16, Deutsche Bundesbank, Research Centre.

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