Generalized impulse response analysis in a fractionally integrated vector autoregressive model

DOI10.1016/J.ECONLET.2012.12.023MaRDI QIDQ2444331zbMATH OpenOpenAlexFDO

Authors Hung Xuan Do, Robert Darren Brooks, Sirimon Treepongkaruna

Publication date 9 April 2014

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2012.12.023

zbMATH Keywords

fractionally integrated VAR modelgeneralized impulse responselong memory

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(10)

• Generalized impulse response analysis in linear multivariate models
• Generating univariate fractional integration within a large VAR(1)
• An impulse-response function for a VAR with multivariate GARCH-in-mean that incorporates direct and indirect transmission of shocks
• An impulse-response function for a vector autoregression with multivariate GARCH-in-mean
• Rényi entropy and divergence for VARFIMA processes based on characteristic and impulse response functions
• Effect of the order of fractional integration on impulse responses
• Long- versus medium-run identification in fractionally integrated VAR models
• Fractional integration and impulse responses: a bivariate application to real output in the USA and four Scandinavian countries
• Inference for impulse response coefficients from multivariate fractionally integrated processes
• Calculating and analyzing impulse responses for the vector ARFIMA model.

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