Impulse Response Functions Based on a Causal Approach to Residual Orthogonalization in Vector Autoregressions

DOI10.2307/2291481MaRDI QIDQ4366074zbMATH OpenOpenAlexFDO

Authors Norman R. Swanson, Clive W. J. Granger

Publication date 18 November 1997

Full work available at URL https://doi.org/10.2307/2291481

zbMATH Keywords

overidentifying constraintsstructural modelsvariance decomposition

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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(31)

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• Linearly transforming variables in the VAR model, how does it change the impulse response?
• Contagion around the October 1987 stock market crash
• On the network topology of variance decompositions: measuring the connectedness of financial firms
• Impact factors
• Reprint of: On the network topology of variance decompositions: measuring the connectedness of financial firms
• Causality analysis of futures sugar prices in Zhengzhou based on graphical models for multivariate time series
• Granger causality and path diagrams for multivariate time series
• A class of optimal tests for contemporaneous non-causality in VAR models
• Granger causality and the sampling of economic processes
• Spectral estimation of the multivariate impulse response
• Directed graphs, information structure and forecast combinations: an empirical examination of US unemployment rates
• From a var model to a structural model, with an application to the wage–price spiral
• The sampling properties of conditional independence graphs forI(1) structural VAR models
• `Slow-burn' spillover and `fast and furious' contagion: a study of international stock markets
• Graphical methods, inductive causal inference, and econometrics: a literature review
• AUTOMATED DISCOVERY IN ECONOMETRICS
• AUTOMATIC INFERENCE OF THE CONTEMPORANEOUS CAUSAL ORDER OF A SYSTEM OF EQUATIONS
• A generalized method of impulse identification
• Directed graphs and variable selection in large vector autoregressive models
• Risk spillover network structure learning for correlated financial assets: a directed acyclic graph approach
• Identification of vector autoregressive models with nonlinear contemporaneous structure
• Consistent causal inference for high-dimensional time series
• Structural information in recursive VAR orderings
• Directed cyclic graphs for simultaneous discovery of time-lagged and instantaneous causality from longitudinal data using instrumental variables
• Causal inference for structural equations: with an application to wage-price spiral
• Identification of vector AR models with recursive structural errors using conditional independence graphs

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