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ALTERNATIVE PROCEDURES FOR ESTIMATING VECTOR AUTOREGRESSIONS IDENTIFIED WITH LONG-RUN RESTRICTIONS

✍ Scribed by Lawrence J. Christiano; Martin Eichenbaum; Robert Vigfusson

Book ID: 114996436
Publisher: MIT Press
Year: 2006
Tongue: English
Weight: 74 KB
Volume: 4
Category: Article
ISSN: 1542-4766
DOI: 10.1162/jeea.2006.4.2-3.475

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## Abstract We demonstrate that a popular method of estimating underlying structural macroeconomic shocks and their impulse–response functions through recursive long‐run structural restrictions on a vector autoregressive representation is not uniquely identified. We show, however, that it may be po