Mertens, Elmar - In: Journal of Economic Dynamics and Control 36 (2012) 12, pp. 1831-1844
No, not really. In response to concerns about the reliability of SVARs, one proposal has been to combine OLS estimates of a VAR with non-parametric estimates of the spectral density. But as shown here, spectral estimators are no panacea for implementing long-run restrictions. They can suffer...