Linearly transforming variables in the VAR model, how does it change the impulse response?

DOI10.1515/JEM-2015-0015MaRDI QIDQ2312960zbMATH OpenOpenAlexFDO

Authors Peter Reusens, Christophe Croux

Publication date 18 July 2019

Published in Journal of Econometric Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/jem-2015-0015

zbMATH Keywords

vector autoregressionlinear transformationimpulse response

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• scientific article; zbMATH DE number 2199188 (Why is no real title available?)
• Generalized impulse response analysis in linear multivariate models

Cited in

(1)

• An asymptotic invariance property of the common trends under linear transformations of the data

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