Many recent papers have tried to identify behavioral disturbances in vector autoregressions (VAR's) by imposing restrictions on the long-run effects of shocks. This paper argues that this approach will support reliable struc­tured inferences only if the underlying economy satisfies strong...

Many recent papers have identified behavioral disturbances in vector autoregressions by imposing restrictions on the long-run effects of shocks. The paper demonstrates that this approach will be unreliable unless the underlying economy satisfies three types of strong restrictions. While many...