Estimation of structural impulse responses: short-run versus long-run identifying restrictions

DOI10.1007/S10182-017-0300-9MaRDI QIDQ2316732zbMATH OpenOpenAlexFDO

Authors Anna Staszewska-Bystrova, Peter Winker, Helmut Lütkepohl

Publication date 6 August 2019

Published in AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL http://www.diw.de/documents/publikationen/73/diw_01.c.552328.de/dp1642.pdf

zbMATH Keywords

impulse responsesstructural vector autoregressive modellong-run multipliersshort-run multipliers

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

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Cites work

• scientific article; zbMATH DE number 2199188 (Why is no real title available?)
• Inference in nearly nonstationary SVAR models with long-run identifying restrictions
• Structural vector autoregressive analysis

Cited in

(3)

• ON THE ASYMPTOTIC DISTRIBUTION OF IMPULSE RESPONSE FUNCTIONS WITH LONG-RUN RESTRICTIONS
• Are spectral estimators useful for long-run restrictions in SVARs?
• STRUCTURAL INFERENCE WITH LONG-RUN RECURSIVE EMPIRICAL MODELS

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