On the asymptotic distribution of impulse response functions with long run restrictions
In this paper, the asymptotic distribution of the parameters of the moving average representation of structural VAR models with long run restrictions is derived. Moreover, it is shown that the structural model can easily be estimated in a two step procedure, where the reduced form model parameters serve as input for the structural parameters. The proposed model structure is very general, including the common trends model, in the sense that all identification schemes that can be expressed as linear zero restrictions on the contemporaneous or long-run impact of the structural shocks are allowed for. The asymptotic distribution of the moving average parameters can be used to determine asymptotic confidence intervals of impulse response functions or to perform tests of hypotheses concerning forecast error variance decompositions. The relevance of the correction for long run restrictions to the asymptotic distribution is shown in an example on German interest rates.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||1998|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://www.dnb.nl/en/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:dnb:wormem:539. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Rob Vet)
If references are entirely missing, you can add them using this form.