Inference in dynamic models containing 'surprise' variables
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Publication:1822190
DOI10.1016/0304-4076(87)90083-2zbMath0617.62118OpenAlexW2035910430MaRDI QIDQ1822190
Publication date: 1987
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(87)90083-2
moving average representationdynamic modelssurprise variablesmulti-period expectations horizontwo-step regression proceduresvector ARMA processes
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (10)
Econometric analysis of linearized singular dynamic stochastic general equilibrium models ⋮ Cointegration and speed of convergence to equilibrium ⋮ ON THE ASYMPTOTIC DISTRIBUTION OF IMPULSE RESPONSE FUNCTIONS WITH LONG-RUN RESTRICTIONS ⋮ Prediction in dynamic models with time-dependent conditional variances ⋮ Impulse response analysis of cointegrated systems ⋮ Econometric tests of rationality and market efficiency ⋮ A note on the asymptotic distribution of impulse response functions of estimated VAR models with orthogonal residuals ⋮ Asymptotic distributions of impulse response functions in short panel vector autoregressions ⋮ Inference for impulse response coefficients from multivariate fractionally integrated processes ⋮ On the relationship between impulse response analysis, innovation accounting and Granger causality
Cites Work
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- Consistent estimation of equations with composite moving average disturbance terms
- On the structure of moving average processes
- Nearly Efficient Estimation of Time Series Models with Predetermined, but not Exogenous, Instruments
- Econometric Issues in the Analysis of Regressions with Generated Regressors
- Forecasting and conditional projection using realistic prior distributions
- The Asymptotic Distribution of Dynamic Multipliers
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