Are spectral estimators useful for long-run restrictions in SVARs?

作者：Mertens Elmar^*

来源：Journal of Economic Dynamics and Control, 2012, 36(12): 1831-1844.

DOI：10.1016/j.jedc.2012.06.007

• Structural VAR
• Long-run identification
• Non-parametric estimation
• Spectral factorization

No, not really. In response to concerns about the reliability of SVARs, one proposal has been to combine OLS estimates of a VAR with non-parametric estimates of the spectral density. But as shown here, spectral estimators are no panacea for implementing long-run restrictions. They can suffer from small sample and misspecification biases just as VARs do. As a novelty, this paper uses a spectral factorization to ensure a correct representation of the data's variance. But this cannot overcome the basic small sample issues, which arise when trying to estimate long-run properties from relatively short samples of time-series data. Published by Elsevier B.V.

• 出版日期2012-12