Estimation of structural impulse responses: short-run versus long-run identifying restrictions

DOI10.1007/s10182-017-0300-9zbMath1421.62127OpenAlexW2596366588MaRDI QIDQ2316732

Anna Staszewska-Bystrova, Peter Winker, Helmut Lütkepohl

Publication date: 6 August 2019

Published in: AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL: http://www.diw.de/documents/publikationen/73/diw_01.c.552328.de/dp1642.pdf

zbMATH Keywords

impulse responsesstructural vector autoregressive modellong-run multipliersshort-run multipliers

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

Cites Work

• Unnamed Item
• Inference in Nearly Nonstationary SVAR Models With Long-Run Identifying Restrictions
• Structural Vector Autoregressive Analysis

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