Why Are Long-run Parameter Estimates So Disparate?
The specification of dynamic models typically leads to the estimation of impact responses. A transformation that allows for the direct estimation of the implied long-run parameters is discussed and the problem of choosing an appropriate estimator is addressed. Because the standard estimators of long-run responses involve ratios of regression coefficients, they typically do not possess finite sample moments. We argue that this existence of moments problem is fundamental to the observed disparity of long-run estimates. Simulation experiments are used to evaluate the properties of the standard implied estimator and a minimum expected loss estimator. Copyright 1990 by MIT Press.
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Volume (Year): 72 (1990)
Issue (Month): 2 (May)
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