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"We show that the standard procedure for estimating long-run identified vector autoregressions uses a particular estimator of the zero-frequency spectral density matrix of the data. We develop alternatives to the standard procedure and evaluate the properties of these alternative procedures using Monte Carlo experiments in which data are generated from estimated real business cycle models. We focus on the properties of estimated impulse response functions. In our examples, the alternative procedures have better small sample properties than the standard procedure, with smaller bias, smaller mean square error and better coverage rates for estimated confidence intervals"--Federal Reserve Board web site.
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Alternative procedures for estimating vector autoregressions identified with long-run restrictions
2005, Federal Reserve Board
Electronic resource
in English
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Book Details
Edition Notes
Includes bibliographical references.
Title from PDF file as viewed on 10/21/2005.
Also available in print.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.
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- Created April 1, 2008
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December 13, 2020 | Edited by MARC Bot | import existing book |
August 4, 2012 | Edited by VacuumBot | Updated format '[electronic resource] /' to 'Electronic resource' |
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October 31, 2008 | Edited by ImportBot | add URIs from original MARC record |
April 1, 2008 | Created by an anonymous user | Imported from Scriblio MARC record |