Robust inference in structural vector autoregressions with long-run restrictions
Long-run restrictions are a very popular method for identifying structural vector autoregressions, but they suffer from weak identification when the data is very persistent, i.e., when the highest autoregressive roots are near unity. Near unit roots introduce additional nuisance parameters and make...
Main Authors: | Chevillon, G, Mavroeidis, S, Zhan, Z |
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Format: | Journal article |
Language: | English |
Published: |
Cambridge University Press
2019
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