IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this paper

Alternative procedures for estimating vector autoregressions identified with long-run restrictions

Author Info

Listed author(s):
  • Lawrence J. Christiano
  • Martin Eichenbaum
  • Robert J. Vigfusson

Abstract

We 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.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.federalreserve.gov/pubs/ifdp/2005/842/default.htm
Download Restriction: no
File URL: http://www.federalreserve.gov/pubs/ifdp/2005/842/ifdp842.pdf
Download Restriction: no

Paper provided by Board of Governors of the Federal Reserve System (U.S.) in its series International Finance Discussion Papers with number 842.

as
in new window

Length:
Date of creation: 2005
Handle: RePEc:fip:fedgif:842
Contact details of provider: Postal:
20th Street and Constitution Avenue, NW, Washington, DC 20551

Web page: http://www.federalreserve.gov/

More information through EDIRC

Order Information: Web: http://www.federalreserve.gov/pubs/ifdp/order.htm

Keywords: Vector analysis ; Vector autoregression ; Econometric models;

Other versions of this item:

Find related papers by JEL classification:
  • E24 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity
  • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
  • O3 - Economic Development, Innovation, Technological Change, and Growth - - Innovation; Research and Development; Technological Change; Intellectual Property Rights

This paper has been announced in the following NEP Reports:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as
in new window


  1. Jordi Gali, 1999. "Technology, Employment, and the Business Cycle: Do Technology Shocks Explain Aggregate Fluctuations?," American Economic Review, American Economic Association, vol. 89(1), pages 249-271, March.
  2. Lawrence J. Christiano & Martin Eichenbaum & Robert Vigfusson, 2007. "Assessing Structural VARs," NBER Chapters,in: NBER Macroeconomics Annual 2006, Volume 21, pages 1-106 National Bureau of Economic Research, Inc.
  3. Andrews, Donald W K & Monahan, J Christopher, 1992. "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," Econometrica, Econometric Society, vol. 60(4), pages 953-966, July.
  4. V. V. Chari & Patrick J. Kehoe & Ellen R. McGrattan, 2004. "A Critique of Structural VARs Using Real Business Cycle Theory," Levine's Bibliography 122247000000000518, UCLA Department of Economics.
Full references (including those not matched with items on IDEAS)

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

as
in new window


Cited by:

  1. Bekaert, Geert & Hoerova, Marie & Lo Duca, Marco, 2013. "Risk, uncertainty and monetary policy," Journal of Monetary Economics, Elsevier, vol. 60(7), pages 771-788.
  2. Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2017. "Estimation of Structural Impulse Responses: Short-Run versus Long-Run Identifying Restrictions," Discussion Papers of DIW Berlin 1642, DIW Berlin, German Institute for Economic Research.
  3. Hjalmarsson, Erik, 2007. "Fully modified estimation with nearly integrated regressors," Finance Research Letters, Elsevier, vol. 4(2), pages 92-94, June.
  4. Charles, Amélie & Darné, Olivier & Tripier, Fabien, 2015. "Are Unit Root Tests Useful In The Debate Over The (Non)Stationarity Of Hours Worked?," Macroeconomic Dynamics, Cambridge University Press, vol. 19(01), pages 167-188, January.
  5. Dupor, Bill & Han, Jing & Tsai, Yi-Chan, 2009. "What do technology shocks tell us about the New Keynesian paradigm?," Journal of Monetary Economics, Elsevier, vol. 56(4), pages 560-569, May.
  6. Sean Holly & Ivan Petrella, 2008. " Factor demand linkages and the business cycle: interpreting aggregate fluctuations as sectoral fluctuations," CDMA Conference Paper Series 0809, Centre for Dynamic Macroeconomic Analysis.
  7. Gouriéroux, Christian & Monfort, Alain & Renne, Jean-Paul, 2017. "Statistical inference for independent component analysis: Application to structural VAR models," Journal of Econometrics, Elsevier, vol. 196(1), pages 111-126.
  8. Lovcha, Yuliya & Pérez Laborda, Àlex, 2016. "The Variance-Frequency Decomposition as an Instrument for VAR Identification: an Application to Technology Shocks," Working Papers 2072/261537, Universitat Rovira i Virgili, Department of Economics.
  9. John W. Keating, 2013. "Interpreting Permanent Shocks to Output When Aggregate Demand May Not Be Neutral in the Long Run," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(4), pages 747-756, 06.
  10. Mertens, Elmar, 2012. "Are spectral estimators useful for long-run restrictions in SVARs?," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1831-1844.
  11. Lorenza Rossi, 2016. "Productivity Shocks and Uncertainty Shocks in a Model with Endogenous Firms Exit and Inefficient Banks," DEM Working Papers Series 128, University of Pavia, Department of Economics and Management.
  12. Andrew Binning, 2013. "Underidentified SVAR models: A framework for combining short and long-run restrictions with sign-restrictions," Working Paper 2013/14, Norges Bank.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Access and download statistics

When requesting a correction, please mention this item's handle: RePEc:fip:fedgif:842. 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: (Franz Osorio)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.