Long-Run Identification in a Fractionally Integrated System
扩展了结构分数积分向量自回归模型，避免长期识别限制对脉冲响应的不良影响，通过模拟和美国实际产出与价格数据表明，积分阶数的设定对冲击效应有显著影响。
We propose an extension of structural fractionally integrated vector autoregressive models that avoids certain undesirable effects on the impulse responses that occur if long-run identification restrictions are imposed. We derive the model's Granger representation and investigate the effects of long-run restrictions. Simulations illustrate that enforcing integer integration orders can have severe consequences for impulse responses. In a system of U.S. real output and aggregate prices, the effects of structural shocks strongly depend on the specification of the integration orders. In the statistically preferred fractional model, shocks that are typically interpreted as demand disturbances have a very brief influence on GDP. Supplementary materials for this article are available online.