Impulse response analysis in infinite order cointegrated vector autoregressive processes

DOI10.1016/S0304-4076(97)00037-7MaRDI QIDQ1372925zbMATH OpenFDO

Authors Pentti Saikkonen, Helmut Lütkepohl

Publication date 17 October 1999

Published in Journal of Econometrics (Search for Journal in Brave)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Recommendations

• Impulse response analysis of cointegrated systems
• Generalized impulse response analysis in linear multivariate models
• Structural vector autoregressive analysis for cointegrated variables
• AUTOMATIC INFERENCE FOR INFINITE ORDER VECTOR AUTOREGRESSIONS

Cites work

• 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?)
• 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
• 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

(22)

• Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
• Calculating and analyzing impulse responses for the vector ARFIMA model.
• Generalized impulse response analysis in a fractionally integrated vector autoregressive model
• Estimating cointegrated systems using subspace algorithms
• Testing for the cointegration rank in threshold cointegrated systems with multiple cointegrating relationships
• Short run and long run causality in time series: inference
• A note on the asymptotic distribution of impulse response functions of estimated VAR models with orthogonal residuals
• ESTIMATION OF THE KRONECKER COVARIANCE MODEL BY QUADRATIC FORM
• Persistence-robust surplus-lag Granger causality testing
• Granger's representation theorem: A closed‐form expression for I(1) processes
• Asymptotic inference for dynamic panel estimators of infinite order autoregressive processes
• A modified information criterion for cointegration tests based on a VAR approximation
• Structural vector autoregressive analysis for cointegrated variables
• Influential observations in cointegrated VAR models: Danish money demand 1973–2003
• AUTOMATIC INFERENCE FOR INFINITE ORDER VECTOR AUTOREGRESSIONS
• Asymptotic Distributions of Impulse Responses, Step Responses, and Variance Decompositions of Estimated Linear Dynamic Models
• Closed-form expressions for the regular part coefficients in matrix polynomial inversion and related results
• Estimation of the impulse response coefficients of a linear process with infinite variance
• Asymptotics for estimation of quantile regressions with truncated infinite-dimensional proc\-ess\-es
• Bootstrapping impulse responses in VAR analyses
• Extreme Spectra of Var Models and Orders of Near‐Cointegration
• Impulse Response Functions Based on a Causal Approach to Residual Orthogonalization in Vector Autoregressions

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