Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions (Q1314479): Difference between revisions
From MaRDI portal
m rollbackEdits.php mass rollback Tag: Rollback |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1016/0304-4076(93)90029-5 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2080720591 / rank | |||
Normal rank | |||
Revision as of 17:42, 21 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions |
scientific article |
Statements
Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions (English)
0 references
16 February 1994
0 references
model misspecifications
0 references
vector autoregressions
0 references
estimated impulse responses
0 references
variance decompositions
0 references
ARMA representation
0 references
closed-form expressions
0 references
inconsistency
0 references
VAR-parameter estimates
0 references
moving average terms
0 references
incorrectly specified lag lengths
0 references
incorrect orthogonalization of innovations
0 references
trivariate economic model
0 references
