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has been cited by the following article:
TITLE: On the Identification of Technology Shocks: An Alternative to the Standard Long-Run Method
AUTHORS: Ufuk Devrim Demirel
KEYWORDS: Technology Shocks; Long-Run Restrictions; Relative Identification
JOURNAL NAME: Theoretical Economics Letters, Vol.2 No.5, December 27, 2012
ABSTRACT: This study proposes an alternative procedure to identify technology shocks using vector autoregressions (VARs). The proposed procedure delivers improved small-sample properties relative to the standard long-run identification method provided that the dynamics of the observed variables can only be captured precisely by an infinite-order VAR. Monte Carlo experiments on artificial data produced by a standard version of the real business cycle model demonstrate that the proposed procedure is associated with smaller average bias and mean square error. These results obtain under a range of specifications regarding the share of technology shocks in overall output variability.