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An application of estimating structural vector autoregression models with long-run restrictions

✍ Scribed by Edward N. Gamber; Frederick L. Joutz

Book ID
114130363
Publisher
Elsevier Science
Year
1993
Tongue
English
Weight
833 KB
Volume
15
Category
Article
ISSN
0164-0704

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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