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

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)

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

Cites work

• scientific article; zbMATH DE number 51202 (Why is no real title available?)
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• scientific article; zbMATH DE number 1122623 (Why is no real title available?)
• scientific article; zbMATH DE number 857931 (Why is no real title available?)
• A Stastistical Analysis of Cointegration for I(2) Variables
• ASYMPTOTIC EFFICIENCY OF THE TWO STAGE ESTIMATOR IN I (2) SYSTEMS
• ASYMPTOTIC INFERENCE ON THE MOVING AVERAGE IMPACT MATRIX IN COINTEGRATED I (2) VAR SYSTEMS
• An I(2) cointegration analysis of small‐country import price determination
• Critical values and \(p\) values of Bessel process distributions: computation and application to structural break tests
• Dynamic Econometrics
• Fast projection methods for minimal design problems in linear system theory
• Generalized impulse response analysis in linear multivariate models
• Impulse response analysis in nonlinear multivariate models
• Impulse response and forecast error variance asymptotics in nonstationary VARs
• Likelihood Analysis of the I(2) Model
• ON A PARTITIONED INVERSION FORMULA HAVING USEFUL APPLICATIONS IN ECONOMETRICS
• On the determination of integration indices in I(2) systems
• On the sensitivity of the usual \(t\)- and \(F\)-tests to covariance misspecification
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• The sensitivity of OLS when the variance matrix is (partially) unknown
• Trend stationarity in the \(I(2)\) cointegration model.
• Weak exogeneity in \(I(2)\) VAR systems

Cited in

(6)

• Common trends and cycles in I(2) VAR systems
• Speed of adjustment in cointegrated systems
• A general inversion theorem for cointegration
• scientific article; zbMATH DE number 5302939 (Why is no real title available?)
• EQUIVALENCE OF TWO EXPRESSIONS OF THE IMPACT MATRIX
• Impact factor distribution revisited

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