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 InfoPaper provided by Economics Division, School of Social Sciences, University of Southampton in its series Discussion Paper Series In Economics And Econometrics with number 0015.
Date of creation: 01 Jan 2000
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- Hoffmann, Mathias, 2001. "Long run recursive VAR models and QR decompositions," Economics Letters, Elsevier, vol. 73(1), pages 15-20, October.
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