Estimation of impulse response functions using long autoregression
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Cites work
- Automatic Lag Selection in Covariance Matrix Estimation
- Error Bands for Impulse Responses
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- scientific article; zbMATH DE number 192992 (Why is no real title available?)
- Multivariate time series analysis
- Recursive estimation of mixed autoregressive-moving average order
- Stochastic Limit Theory
- Time series: theory and methods.
Cited in
(10)- Frequency domain inference for univariate impulse responses
- Asymptotic inference for dynamic panel estimators of infinite order autoregressive processes
- The impulse response function of the long memory GARCH process
- Estimating impulse response functions when the shock series is observed
- Spectral estimation of the multivariate impulse response
- Impulse response matching estimators for DSGE models
- Impulse Response Functions Based on a Causal Approach to Residual Orthogonalization in Vector Autoregressions
- Estimation and inference for impulse response functions from univariate strongly persistent processes
- ON THE ASYMPTOTIC DISTRIBUTION OF IMPULSE RESPONSE FUNCTIONS WITH LONG-RUN RESTRICTIONS
- State-dependent local projections
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