A note on the asymptotic distribution of impulse response functions of estimated VAR models with orthogonal residuals

DOI10.1016/0304-4076(89)90059-6MaRDI QIDQ583758zbMATHOpenAlexFDO

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

zbMATH Keywords

covariance matrixclosed-form expressionestimated vector autoregressive processmoving average representationorthogonal residuals

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 40988 (Why is no real title available?)
• scientific article; zbMATH DE number 192992 (Why is no real title available?)
• Inference in dynamic models containing 'surprise' variables
• Linear Statistical Inference and its Applications
• Multivariate subset autoregressive modelling with zero constraints for detecting 'overall causality'
• ON THE RECURSIVE FITTING OF SUBSET AUTOREGRESSIONS
• Reduced rank models for multiple time series
• Some results on multivariate autoregressive index models

Cited in

(11)

• On the asymptotic distribution of residual autocovariances in VARX models with applications
• Impulse response and forecast error variance asymptotics in nonstationary VARs
• The asymptotic variance of the estimated roots in a cointegrated vector autoregressive model
• Asymptotic distributions of impulse response functions in short panel vector autoregressions
• Inference for impulse response coefficients from multivariate fractionally integrated processes
• Asymptotically valid Bayesian inference in the presence of distributional misspecification in VAR models
• 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
• Moving-average representation of autoregressive approximations
• EQUIVALENCE OF TWO EXPRESSIONS OF THE IMPACT MATRIX
• Impulse Response Functions Based on a Causal Approach to Residual Orthogonalization in Vector Autoregressions

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