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)

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)

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

Cites work

• 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
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Impulse response analysis of cointegrated systems
• Impulse response and forecast error variance asymptotics in nonstationary VARs
• Inference in dynamic models containing 'surprise' variables
• Problems related to confidence intervals for impulse responses of autoregressive processes
• Statistical analysis of cointegration vectors
• Testing for Common Trends
• The Influence of VAR Dimensions on Estimator Biases

Cited in

(7)

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

Describes a project that uses

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)