Calculating and analyzing impulse responses for the vector ARFIMA model.

DOI10.1016/S0165-1765(00)00399-2MaRDI QIDQ5940890zbMATH OpenOpenAlexFDO

Authors Ching-Fan Chung

Publication date 20 August 2001

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0165-1765(00)00399-2

zbMATH Keywords

Generating functionsImpulse responsesSlow changing ratesThe VARFIMA model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Generalized impulse response analysis in a fractionally integrated vector autoregressive model
• Impulse response analysis of cointegrated systems
• Impulse responses of fractionally integrated processes with long memory
• An impulse-response function for a vector autoregression with multivariate GARCH-in-mean
• Impulse response analysis in infinite order cointegrated vector autoregressive processes

Cites work

• A GENERALIZED FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE PROCESS
• A minimum distance estimator for long-memory processes
• Asymptotic Distributions of Impulse Responses, Step Responses, and Variance Decompositions of Estimated Linear Dynamic Models
• Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
• Estimating a generalized long memory process
• Fractional differencing
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• scientific article; zbMATH DE number 3824228 (Why is no real title available?)
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• ON GENERALIZED FRACTIONAL PROCESSES

Cited in

(8)

• Rényi entropy and divergence for VARFIMA processes based on characteristic and impulse response functions
• Effect of the order of fractional integration on impulse responses
• Generalized impulse response analysis in a fractionally integrated vector autoregressive model
• Long- versus medium-run identification in fractionally integrated VAR models
• ARMA MODELS REALIZATION AND IMPULSE RESPONSES
• Computationally efficient methods for two multivariate fractionally integrated models
• Fractional integration and impulse responses: a bivariate application to real output in the USA and four Scandinavian countries
• Testing for long memory in the Asian foreign exchange rates

This page was built for publication: Calculating and analyzing impulse responses for the vector ARFIMA model.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5940890)