FRB: Alternative Procedures for Estimating Vector Autoregressions Identified with Long-Run Restrictions

International Finance Discussion Papers

Alternative Procedures for Estimating Vector Autoregressions Identified with Long-Run Restrictions
Lawrence J. Christiano; Martin Eichenbaum; Robert J. Vigfusson
2005-842 (October 2005)

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.

Full paper, latest version (196 KB PDF) | Full paper (screen reader version)

Keywords
Technology shocks, hours worked, frequency domain, spectral density matrix

As Published Elsewhere
Journal of the European Economic Association, (forthcoming) EEA proceedings

PDF files: Adobe Acrobat Reader ZIP files: PKWARE

Home | IFDPs | List of 2005 IFDPs
Accessibility | Contact Us
Last update: September 29, 2008