Long- versus medium-run identification in fractionally integrated VAR models
Year of publication: |
2014
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Authors: | Tschernig, Rolf ; Weber, Enzo ; Weigand, Roland |
Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 122.2014, 2, p. 299-302
|
Subject: | Structural vector autoregression | Long-run restriction | Finite-horizon identification | Fractional integration | Impulse response function | Schätzung | Estimation | VAR-Modell | VAR model | Zeitreihenanalyse | Time series analysis | Schock | Shock | Schätztheorie | Estimation theory |
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