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

DOI10.1007/S10182-017-0300-9zbMATH Open1421.62127OpenAlexW2596366588MaRDI QIDQ2316732FDOQ2316732

Authors: 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

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zbMATH Keywords

impulse responsesstructural vector autoregressive modellong-run multipliersshort-run multipliers

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Structural vector autoregressive analysis
• Inference in nearly nonstationary SVAR models with long-run identifying restrictions

Cited In (3)

• ON THE ASYMPTOTIC DISTRIBUTION OF IMPULSE RESPONSE FUNCTIONS WITH LONG-RUN RESTRICTIONS
• Are spectral estimators useful for long-run restrictions in SVARs?
• STRUCTURAL INFERENCE WITH LONG-RUN RECURSIVE EMPIRICAL MODELS

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