A note on the asymptotic distribution of impulse response functions of estimated VAR models with orthogonal residuals (Q583758)
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scientific article; zbMATH DE number 4133298
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| English | A note on the asymptotic distribution of impulse response functions of estimated VAR models with orthogonal residuals |
scientific article; zbMATH DE number 4133298 |
Statements
A note on the asymptotic distribution of impulse response functions of estimated VAR models with orthogonal residuals (English)
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1989
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closed-form expression
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covariance matrix
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moving average representation
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orthogonal residuals
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estimated vector autoregressive process
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0.8502338528633118
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0.8044201731681824
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0.7975958585739136
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0.7968814373016357
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0.7966989874839783
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