Impact factors

DOI10.1016/J.JECONOM.2004.08.007zbMATH Open1337.62294OpenAlexW4232770600MaRDI QIDQ265013FDOQ265013

Authors: Pieter Omtzigt, Paolo Paruolo 

Publication date: 1 April 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2004.08.007

Recommendations

• Impulse response and forecast error variance asymptotics in nonstationary VARs
• Impulse Response Functions Based on a Causal Approach to Residual Orthogonalization in Vector Autoregressions
• Generalized impulse response analysis in linear multivariate models
• Sensitivity analysis in continuous time econometric models
• ASYMPTOTIC INFERENCE ON THE MOVING AVERAGE IMPACT MATRIX IN COINTEGRATED I (2) VAR SYSTEMS

zbMATH Keywords

sensitivityforecastingcointegration(generalized) impulse responsesdynamic multipliersI(1)I(2)VAR

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

Cites Work

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• Likelihood Analysis of the I(2) Model
• Dynamic Econometrics
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• CRITICAL VALUES AND P VALUES OF BESSEL PROCESS DISTRIBUTIONS: COMPUTATION AND APPLICATION TO STRUCTURAL BREAK TESTS
• ON A PARTITIONED INVERSION FORMULA HAVING USEFUL APPLICATIONS IN ECONOMETRICS
• ASYMPTOTIC INFERENCE ON THE MOVING AVERAGE IMPACT MATRIX IN COINTEGRATED I (2) VAR SYSTEMS

Cited In (6)

• A general inversion theorem for cointegration
• Common trends and cycles in I(2) VAR systems
• Speed of adjustment in cointegrated systems
• Impact factor distribution revisited
• EQUIVALENCE OF TWO EXPRESSIONS OF THE IMPACT MATRIX
• Title not available (Why is that?)

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