Hoffmann, Mathias (2001). Long run recursive VAR models and QR decompositions. Economics Letters, 73(1):15-20.
Full text not available from this repository.
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.
|Item Type:||Journal Article, refereed, original work|
|Communities & Collections:||03 Faculty of Economics > Department of Economics|
|Deposited On:||11 Feb 2008 13:29|
|Last Modified:||27 Nov 2013 22:31|
|Citations:||Web of Science®. Times cited: 2|
Users (please log in): suggest update or correction for this item
Repository Staff Only: item control page