Structural Inference With Long-run Recursive Empirical Models

John W. Keating

University of Kansas, Department of Economics, 213 Summerfield Hall, Lawrence, KS 66045

jkeating@ukans.edu


Abstract: This paper investigates conditions under which empirical models that use long-run recursive identifying assumptions will obtain structural impulse response functions. I present a class of structures defined as long-run partially recursive. If an economic structure falls into this class, then certain long-run recursive empirical models are able to identify some of the structural responses. This sufficient condition is first shown in a vector autoregression. A well-known example from the literature is used to illustrate this type of structure and some applications of the result. Then the result is shown in models of cointegrated time series. Necessary conditions for a long-run recursive model to identify structure are addressed in the conclusion.