On the validity and identification of long-run restrictions for a cointegrated system
β Scribed by Sau-Him Paul Lau
- Book ID
- 117434719
- Publisher
- Elsevier Science
- Year
- 2000
- Tongue
- English
- Weight
- 97 KB
- Volume
- 17
- Category
- Article
- ISSN
- 0264-9993
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## Abstract We demonstrate that a popular method of estimating underlying structural macroeconomic shocks and their impulseβresponse functions through recursive longβrun structural restrictions on a vector autoregressive representation is not uniquely identified. We show, however, that it may be po
## ABSTRACT This paper concerns Longβterm forecasts for cointegrated processes. First, it considers the case where the parameters of the model are known. The paper analytically shows that neither cointegration nor integration constraint matters in Longβterm forecasts. It is an alternative implicati