A0800
Title: Projection estimators for structural impulse responses
Authors: Ralf Brueggemann - University of Konstanz (Germany) [presenting]
Joerg Breitung - University of Cologne (Germany)
Abstract: We discuss asymptotic inference for projection estimators of impulse responses in SVARs with short and long-run identifying restrictions. First, we provide the asymptotic distribution of a projection estimator that fully accounts for estimation uncertainty in recursive systems. Within our framework, the standard errors of the impulse responses are consistently estimated as the usual OLS standard errors and no HAC-correction is required. We also suggest a simple two-step procedure for estimation of impulse responses from SVARs with long-run identifying restrictions. Inference is based on an IV/GMM approach that takes the two-step nature of the procedure properly into account. Simulation evidence suggests that our projection methods (direct estimators) are more robust against model misspecification than traditional (iterated) estimators are.
