When do long-run identifying restrictions give reliable results?

被引:202
作者
Faust, J [1 ]
Leeper, EM [1 ]
机构
[1] INDIANA UNIV,DEPT ECON,BLOOMINGTON,IN 47405
关键词
identification; long-run restriction; vector autoregression;
D O I
10.2307/1392338
中图分类号
F [经济];
学科分类号
02 ;
摘要
Many recent articles have identified behavioral disturbances in vector autoregressions by imposing restrictions on the long-run effects of shocks. This article demonstrates that this approach will be unreliable unless the underlying economy satisfies three types of strong restrictions. Although many aspects of these issues have been raised before. this article draws out and illustrates the implications for inferences under the long-run scheme. Furthermore, it provides strategies for dealing with the problems.
引用
收藏
页码:345 / 353
页数:9
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