Impulse response analysis of cointegrated systems

DOI10.1016/0165-1889(92)90005-YMaRDI QIDQ1186063zbMATH OpenOpenAlexWikidataFDO

Authors Hans-Eggert Reimers, Helmut Lütkepohl

Publication date 28 June 1992

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1889(92)90005-y

zbMATH Keywords

asymptotic distributionvector autoregressive modelcointegrated variablesML-estimateswhite noise disturbances

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84) Economic growth models (91B62)

Recommendations

• Impulse response analysis in infinite order cointegrated vector autoregressive processes
• Structural vector autoregressive analysis for cointegrated variables
• Recent Advances in Cointegration Analysis
• Generalized impulse response analysis in linear multivariate models

Cites work

• scientific article; zbMATH DE number 40988 (Why is no real title available?)
• scientific article; zbMATH DE number 45973 (Why is no real title available?)
• Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Inference in Linear Time Series Models with some Unit Roots
• Inference in dynamic models containing 'surprise' variables
• Multiple Time Series Regression with Integrated Processes
• Statistical analysis of cointegration vectors

Cited in

(23)

• Fractional integration and impulse responses: a bivariate application to real output in the USA and four Scandinavian countries
• Calculating and analyzing impulse responses for the vector ARFIMA model.
• Cointegration analysis and category sales: Stationarity and long-run equilibrium in market shares
• Spectral estimation of the multivariate impulse response
• Cointegration and speed of convergence to equilibrium
• Comparison of bootstrap confidence intervals for impulse responses of German monetary systems
• On the determinants of data breaches: a cointegration analysis
• Alternative representation for asymptotic distributions of impulse responses in cointegrated VAR systems
• Limited information-processing capacity and asymmetric stock correlations
• Tests for Long-Run Granger Non-Causality in Cointegrated Systems
• Granger's representation theorem: A closed‐form expression for I(1) processes
• The long-run determinants of fertility: one century of demographic change 1900--1999
• Recent Advances in Cointegration Analysis
• Structural vector autoregressive analysis for cointegrated variables
• Impulse response analysis in infinite order cointegrated vector autoregressive processes
• The market impact of a limit order
• Interval forecasting in cointegrated systems
• Influential observations in cointegrated VAR models: Danish money demand 1973–2003
• Closed-form expressions for the regular part coefficients in matrix polynomial inversion and related results
• ON THE ASYMPTOTIC DISTRIBUTION OF IMPULSE RESPONSE FUNCTIONS WITH LONG-RUN RESTRICTIONS
• A REVIEW OF SYSTEMS COINTEGRATION TESTS
• Generalized impulse response analysis in linear multivariate models
• Volatility modeling and prediction: the role of price impact

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