Alternative procedures for estimating vector autoregressions identified with long-run restrictions

Lawrence J Christiano*, Martin S Eichenbaum, Robert J. Vigfusson

*Corresponding author for this work

Research output: Contribution to journalArticle

8 Scopus citations

Abstract

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.

Original languageEnglish (US)
Pages (from-to)475-483
Number of pages9
JournalJournal of the European Economic Association
Volume4
Issue number2-3
DOIs
StatePublished - Jan 1 2006

ASJC Scopus subject areas

  • Economics, Econometrics and Finance(all)

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