Hoffmann, Mathias (2001). Long run recursive VAR models and QR decompositions. Economics Letters, 73(1):15-20.
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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|
|Dewey Decimal Classification:||330 Economics|
|Deposited On:||11 Feb 2008 12:29|
|Last Modified:||05 Apr 2016 12:22|
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