When Do Long-Run Identifying Restrictions Give Reliable Results?
指出，通过对冲击的长期效应施加约束来识别向量自回归中的行为扰动，除非底层经济满足三种强约束，否则该方法不可靠，并提供了应对策略。
Many recent articles have identified behavioral disturbances in vector autoregressions by imposing restrictions on the long-run effects of shocks. This article demonstrates that this approach will be unreliable unless the underlying economy satisfies three types of strong restrictions. Although many aspects of these issues have been raised before, this article draws out and illustrates the implications for inferences under the long-run scheme. Furthermore, it provides strategies for dealing with the problems.