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Long run recursive VAR models and QR decompositions

Long run recursive VAR models and QR decompositions
Long run recursive VAR models and QR decompositions
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 schemes are required, e.g. in bootstrapping confidence intervals for impulse responses
15
University of Southampton
Hoffmann, Mathias
b40fe4f6-c63c-472c-ab67-52702d1f9b00
Hoffmann, Mathias
b40fe4f6-c63c-472c-ab67-52702d1f9b00

Hoffmann, Mathias (2000) Long run recursive VAR models and QR decompositions Southampton, UK. University of Southampton 10pp. (Discussion Papers in Economics and Econometrics, 15)

Record type: Monograph (Discussion Paper)

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 schemes are required, e.g. in bootstrapping confidence intervals for impulse responses

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Published date: 2000

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Local EPrints ID: 33116
URI: https://eprints.soton.ac.uk/id/eprint/33116
PURE UUID: 42a8f170-29d2-4b70-9a9e-775ed29b4718

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Date deposited: 19 Jul 2006
Last modified: 17 Jul 2017 15:54

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Author: Mathias Hoffmann

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