A0245
Title: A reliable and testable alternative to long-run restrictions in structural VAR models
Authors: Florian Pelgrin - EDHEC Business School (France) [presenting]
Alain Guay - UQAM and CIRPEE (Canada)
Abstract: A new identification method for structural VAR models is proposed based on frequency interval restrictions. In doing so, we use a previous methodology, the generalization of GMM for a continuum of moment conditions, in the case of the asymptotic least squares method, and we thus propose a new estimator, namely the continuum asymptotic least squares estimator (C-ALS). Our new methodology allows to obtain consistent estimates of impulse responses and reliable confidence intervals in contrast to usual long-run restrictions. Moreover the imposed restrictions can be tested formally and it offers a data-driven procedure that can assess formally the relevance of the imposed identifying restrictions. Finally, we provide some new results using extensive Monte Carlo simulations and an application regarding the hours-productivity debate.
