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- W2187044265 abstract "Despite methodological critiques, macroeconomic research often relies on vector autoregressions (VARs) identi…ed with long-run restrictions to uncover empirical regularities. In large part, the critiques argue the method goes awry due to lag truncation. Reduced form models with short lag lengths provide poor approximations to DSGE models. Yet short lag lengths are deemed a necessity as increased parametrization would lead to prohibitively large uncertainty. We show that the trivial solution to the critique, i.e. dramatically increasing lag length, actually works. Truncation is a form of misspeci…cation. In the face of misspeci…cation, increasing lag length may in fact reduce uncertainty. As a result, VARs with lag lengths of, say, ten years can lead to unbiased and precise inference when" @default.
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- W2187044265 date "2011-01-01" @default.
- W2187044265 modified "2023-09-27" @default.
- W2187044265 title "Resuscitating Long-run Restrictions" @default.
- W2187044265 hasPublicationYear "2011" @default.
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