Impulse Response Functions Based on a Causal Approach to Residual Orthogonalization in Vector Autoregressions
From MaRDI portal
Publication:4366074
DOI10.2307/2291481zbMath0889.62076OpenAlexW3122874300MaRDI QIDQ4366074
Clive W. J. Granger, Norman R. Swanson
Publication date: 18 November 1997
Full work available at URL: https://doi.org/10.2307/2291481
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items
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 ⋮ Granger causality and the sampling of economic processes ⋮ Contagion around the October 1987 stock market crash ⋮ A method for agent-based models validation ⋮ Directed graphs and variable selection in large vector autoregressive models ⋮ Risk spillover network structure learning for correlated financial assets: a directed acyclic graph approach ⋮ Reprint of: On the network topology of variance decompositions: measuring the connectedness of financial firms ⋮ On the network topology of variance decompositions: measuring the connectedness of financial firms ⋮ AUTOMATED DISCOVERY IN ECONOMETRICS ⋮ AUTOMATIC INFERENCE OF THE CONTEMPORANEOUS CAUSAL ORDER OF A SYSTEM OF EQUATIONS ⋮ The sampling properties of conditional independence graphs forI(1) structural VAR models ⋮ Graphical methods, inductive causal inference, and econometrics: a literature review ⋮ Causal inference for structural equations: with an application to wage-price spiral ⋮ ‘Slow-burn’ spillover and ‘fast and furious’ contagion: a study of international stock markets ⋮ Directed graphs, information structure and forecast combinations: an empirical examination of US unemployment rates ⋮ Identification of vector AR models with recursive structural errors using conditional independence graphs ⋮ The econometric consequences of the ceteris paribus condition in economic theory ⋮ A class of optimal tests for contemporaneous non-causality in VAR models
