ON THE ASYMPTOTIC DISTRIBUTION OF IMPULSE RESPONSE FUNCTIONS WITH LONG-RUN RESTRICTIONS

DOI10.1017/S0266466604205047zbMATH Open1071.62019MaRDI QIDQ5696352FDOQ5696352

Authors: Peter J. G. Vlaar 

Publication date: 18 October 2005

Published in: Econometric Theory (Search for Journal in Brave)

Recommendations

• An alternative approach to estimation of structural vector error correction models with long-run restrictions
• Estimation of impulse response functions using long autoregression
• Estimation of structural impulse responses: short-run versus long-run identifying restrictions
• ROBUST INFERENCE IN STRUCTURAL VECTOR AUTOREGRESSIONS WITH LONG-RUN RESTRICTIONS
• Inference in nearly nonstationary SVAR models with long-run identifying restrictions

zbMATH Keywords

vector time seriesstructural vector error correcting models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)

Cites Work

• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Statistical analysis of cointegration vectors
• Impulse response and forecast error variance asymptotics in nonstationary VARs
• Testing for Common Trends
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Problems related to confidence intervals for impulse responses of autoregressive processes
• Inference in dynamic models containing 'surprise' variables
• The Influence of VAR Dimensions on Estimator Biases
• Impulse response analysis of cointegrated systems
• A note on the asymptotic distribution of impulse response functions of estimated VAR models with orthogonal residuals
• Asymptotic Distributions of Impulse Responses, Step Responses, and Variance Decompositions of Estimated Linear Dynamic Models

Cited In (6)

• Asymptotic Distributions of Impulse Responses, Step Responses, and Variance Decompositions of Estimated Linear Dynamic Models
• Structural vector autoregressive analysis for cointegrated variables
• Problems related to over-identifying restrictions for structural vector error correction models
• STRUCTURAL INFERENCE WITH LONG-RUN RECURSIVE EMPIRICAL MODELS
• An alternative approach to estimation of structural vector error correction models with long-run restrictions
• Estimation of structural impulse responses: short-run versus long-run identifying restrictions

Uses Software

• PcGive

This page was built for publication: ON THE ASYMPTOTIC DISTRIBUTION OF IMPULSE RESPONSE FUNCTIONS WITH LONG-RUN RESTRICTIONS

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5696352)