Generalized impulse response analysis in a fractionally integrated vector autoregressive model

DOI10.1016/J.ECONLET.2012.12.023zbMATH Open1284.62548OpenAlexW3122257679MaRDI QIDQ2444331FDOQ2444331

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

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zbMATH Keywords

long memoryfractionally integrated VAR modelgeneralized impulse response

Mathematics Subject Classification ID

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

Cited In (5)

• An impulse-response function for a vector autoregression with multivariate GARCH-in-mean
• Long- versus medium-run identification in fractionally integrated VAR models
• Generalized impulse response analysis in linear multivariate models
• Calculating and analyzing impulse responses for the vector ARFIMA model.
• Rényi entropy and divergence for VARFIMA processes based on characteristic and impulse response functions

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