Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions (Q1314479): Difference between revisions

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Latest revision as of 12:05, 22 May 2024

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Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions
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    Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions (English)
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    16 February 1994
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    model misspecifications
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    vector autoregressions
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    estimated impulse responses
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    variance decompositions
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    ARMA representation
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    closed-form expressions
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    inconsistency
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    VAR-parameter estimates
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    moving average terms
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    incorrectly specified lag lengths
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    incorrect orthogonalization of innovations
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    trivariate economic model
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