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STRUCTURAL INFERENCE WITH LONG-RUN RECURSIVE EMPIRICAL MODELS
Published online by Cambridge University Press: 16 May 2002
Abstract
This paper investigates conditions under which a long-run recursive model can be used to identify a structure. Economists frequently employ this type of empirical model. I define the class of long-run partially recursive structures. If an economic system is a member of this class, then certain long-run recursive empirical models will obtain some of the structural impulse response functions. This sufficient condition for a structure is first shown in a vector autoregression. A well-known example from the literature is used to illustrate this particular class of structures and to present some useful applications of the result. Then the result is shown in models of cointegrated time series. Necessary conditions for a long-run recursive model to identify structure are addressed in the conclusion.
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- © 2002 Cambridge University Press
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