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Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | Long run recursive VAR models and QR decompositions |
| Organization Unit | |
| Authors |
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| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
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| Journal Title | Economics Letters |
| Publisher | Elsevier |
| Geographical Reach | international |
| ISSN | 0165-1765 |
| Volume | 73 |
| Number | 1 |
| Page Range | 15 - 20 |
| Date | 2001 |
| Abstract Text | Long-run recursive identification schemes are very popular in the structural VAR literature. This note suggests a two-step procedure based on QR decompositions as a solution algorithm for this type of identification problem. Our procedure will always deliver the exact solution and it is much easier to implement than a Newton-type iteration algorithm. It may therefore be very useful whenever quick and precise solutions of a long-run recursive scheme are required, e.g. in bootstrapping confidence intervals for impulse responses. |
| Digital Object Identifier | 10.1016/S0165-1765(01)00457-8 |
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