Impulse response and forecast error variance asymptotics in nonstationary VARs

DOI10.1016/S0304-4076(97)00064-XzbMath0919.62131OpenAlexW1980289683WikidataQ127025465 ScholiaQ127025465MaRDI QIDQ1377303

Peter C. B. Phillips

Publication date: 16 August 1999

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

Full work available at URL: https://doi.org/10.1016/s0304-4076(97)00064-x

zbMATH Keywords

vector autoregressionreduced rank regressionerror correction modelforecast error variance decomposition asymptoticsimpulse response asymptoticsunit-root asymptotics

Mathematics Subject Classification ID

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

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Cites Work

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