Impulse response analysis of cointegrated systems

DOI10.1016/0165-1889(92)90005-YzbMath0756.90021OpenAlexW2009245939WikidataQ56568311 ScholiaQ56568311MaRDI QIDQ1186063

Hans-Eggert Reimers, Helmut Lütkepohl

Publication date: 28 June 1992

Published in: Journal of Economic Dynamics \& 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)

Related Items (16)

Interval forecasting in cointegrated systems ⋮ Impulse response analysis in infinite order cointegrated vector autoregressive processes ⋮ Cointegration and speed of convergence to equilibrium ⋮ The long-run determinants of fertility: one century of demographic change 1900--1999 ⋮ Generalized impulse response analysis in linear multivariate models ⋮ Cointegration analysis of brand and category sales: Stationarity and long-run equilibrium in market shares ⋮ The market impact of a limit order ⋮ Volatility modeling and prediction: the role of price impact ⋮ ON THE ASYMPTOTIC DISTRIBUTION OF IMPULSE RESPONSE FUNCTIONS WITH LONG-RUN RESTRICTIONS ⋮ Closed-form expressions for the regular part coefficients in matrix polynomial inversion and related results ⋮ Alternative representation for asymptotic distributions of impulse responses in cointegrated VAR systems ⋮ Granger's representation theorem: A closed‐form expression for I(1) processes ⋮ Limited information-processing capacity and asymmetric stock correlations ⋮ On the determinants of data breaches: a cointegration analysis ⋮ A REVIEW OF SYSTEMS COINTEGRATION TESTS ⋮ Tests for Long-Run Granger Non-Causality in Cointegrated Systems

Cites Work

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• Statistical analysis of cointegration vectors
• Inference in dynamic models containing 'surprise' variables
• Inference in Linear Time Series Models with some Unit Roots
• Multiple Time Series Regression with Integrated Processes
• Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
• Co-Integration and Error Correction: Representation, Estimation, and Testing

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