Signs of impact effects in time series regression models

DOI10.1016/j.econlet.2013.11.015zbMath1293.91156OpenAlexW3121740311MaRDI QIDQ2512333

Ron Smith, M. Hashem Pesaran

Publication date: 7 August 2014

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://www.cesifo.org/DocDL/cesifo1_wp4433.pdf

zbMATH Keywords

regression coefficientsestimating signsimpact effects

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Stochastic models in economics (91B70)

Related Items (1)

SIZE, OPENNESS, AND MACROECONOMIC INTERDEPENDENCE

Cites Work

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• A further result on the sign of restricted least-squares estimates
• Impulse response analysis in nonlinear multivariate models
• Generalized impulse response analysis in linear multivariate models
• A result on the sign of restricted least-squares estimates

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