Abstract

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.