ON THE ASYMPTOTIC DISTRIBUTION OF IMPULSE RESPONSE FUNCTIONS WITH LONG-RUN RESTRICTIONS

@inproceedings{Vlaar1998ONTA,
  title={ON THE ASYMPTOTIC DISTRIBUTION OF IMPULSE RESPONSE FUNCTIONS WITH LONG-RUN RESTRICTIONS},
  author={Peter J.G. Vlaar},
  year={1998}
}
In this paper, the asymptotic distribution of the parameters of the moving average representation of structural VAR models with long run restrictions is derived. Moreover, it is shown that the structural model can easily be estimated in a two step procedure, where the reduced form model parameters serve as input for the structural parameters. The proposed model structure is very general, including the common trends model, in the sense that all identification schemes that can be expressed as… CONTINUE READING

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