Why Are Long-Run Parameter Estimates so Disparate?
讨论动态模型设定中直接估计长期参数的方法，指出标准估计量因涉及回归系数比值而缺乏有限样本矩，导致长期估计结果差异大，并通过模拟实验评估标准估计量和最小期望损失估计量的性质。
The specification of dynamic models typically leads to the estimation of impact responses. A transformation that allows for the direct estimation of the implied long-run parameters is discussed and the problem of choosing an appropriate estimator is addressed. Because the standard estimators of long-run responses involve ratios of regression coefficients, they typically do not possess finite sample moments. We argue that this existence of moments problem is fundamental to the observed disparity of long-run estimates. Simulation experiments are used to evaluate the properties of the standard implied estimator and a minimum expected loss estimator. Copyright 1990 by MIT Press.