A note on the asymptotic distribution of impulse response functions of estimated VAR models with orthogonal residuals
DOI10.1016/0304-4076(89)90059-6zbMATH Open0692.62013OpenAlexW2086471677MaRDI QIDQ583758FDOQ583758
Authors: Helmut Lütkepohl 
Publication date: 1989
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(89)90059-6
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covariance matrixclosed-form expressionestimated vector autoregressive processmoving average representationorthogonal residuals
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)
Cites Work
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- Linear Statistical Inference and its Applications
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- Inference in dynamic models containing 'surprise' variables
- Reduced rank models for multiple time series
- Some results on multivariate autoregressive index models
- ON THE RECURSIVE FITTING OF SUBSET AUTOREGRESSIONS
- Multivariate subset autoregressive modelling with zero constraints for detecting 'overall causality'
Cited In (11)
- On the asymptotic distribution of residual autocovariances in VARX models with applications
- Inference for impulse response coefficients from multivariate fractionally integrated processes
- Moving-average representation of autoregressive approximations
- Asymptotic Distributions of Impulse Responses, Step Responses, and Variance Decompositions of Estimated Linear Dynamic Models
- ON THE ASYMPTOTIC DISTRIBUTION OF IMPULSE RESPONSE FUNCTIONS WITH LONG-RUN RESTRICTIONS
- Asymptotically valid Bayesian inference in the presence of distributional misspecification in VAR models
- Impulse response and forecast error variance asymptotics in nonstationary VARs
- Asymptotic distributions of impulse response functions in short panel vector autoregressions
- EQUIVALENCE OF TWO EXPRESSIONS OF THE IMPACT MATRIX
- The asymptotic variance of the estimated roots in a cointegrated vector autoregressive model
- Impulse Response Functions Based on a Causal Approach to Residual Orthogonalization in Vector Autoregressions
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