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

DOI10.1017/S0266466604205047zbMath1071.62019MaRDI QIDQ5696352

Peter J. G. Vlaar

Publication date: 18 October 2005

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

zbMATH Keywords

vector time series; structural vector error correcting models

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

Related Items

Structural vector autoregressive analysis for cointegrated variables, Problems related to over-identifying restrictions for structural vector error correction models

Uses Software

• PcGive

Cites Work

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