Impulse response analysis in infinite order cointegrated vector autoregressive processes
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Cites work
- Approximation Theorems of Mathematical Statistics
- Cointegration and speed of convergence to equilibrium
- Consistent autoregressive spectral estimates
- Error Bands for Impulse Responses
- Estimation for Partially Nonstationary Multivariate Autoregressive Models
- scientific article; zbMATH DE number 51202 (Why is no real title available?)
- scientific article; zbMATH DE number 192992 (Why is no real title available?)
- scientific article; zbMATH DE number 3502497 (Why is no real title available?)
- Impulse response analysis of cointegrated systems
- Prediction of multivariate time series by autoregressive model fitting
- Testing cointegration in infinite order vector autoregressive processes
- Testing for nonzero impulse responses in vector autoregressive processes
Cited in
(26)- Asymptotics for estimation of quantile regressions with truncated infinite-dimensional proc\-ess\-es
- Impulse response analysis of cointegrated systems
- Testing for the cointegration rank in threshold cointegrated systems with multiple cointegrating relationships
- Asymptotic inference for dynamic panel estimators of infinite order autoregressive processes
- Estimating cointegrated systems using subspace algorithms
- Cointegration and speed of convergence to equilibrium
- Alternative representation for asymptotic distributions of impulse responses in cointegrated VAR systems
- Estimation of the impulse response coefficients of a linear process with infinite variance
- Generalized impulse response analysis in a fractionally integrated vector autoregressive model
- A modified information criterion for cointegration tests based on a VAR approximation
- Short run and long run causality in time series: inference
- Closed-form expressions for the regular part coefficients in matrix polynomial inversion and related results
- Asymptotic Distributions of Impulse Responses, Step Responses, and Variance Decompositions of Estimated Linear Dynamic Models
- Bootstrapping impulse responses in VAR analyses
- Influential observations in cointegrated VAR models: Danish money demand 1973–2003
- Impulse Response Functions Based on a Causal Approach to Residual Orthogonalization in Vector Autoregressions
- ESTIMATION OF THE KRONECKER COVARIANCE MODEL BY QUADRATIC FORM
- Persistence-robust surplus-lag Granger causality testing
- Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
- Extreme Spectra of Var Models and Orders of Near‐Cointegration
- AUTOMATIC INFERENCE FOR INFINITE ORDER VECTOR AUTOREGRESSIONS
- Granger's representation theorem: A closed‐form expression for I(1) processes
- A note on the asymptotic distribution of impulse response functions of estimated VAR models with orthogonal residuals
- Inference for impulse response coefficients from multivariate fractionally integrated processes
- Calculating and analyzing impulse responses for the vector ARFIMA model.
- Structural vector autoregressive analysis for cointegrated variables
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