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

DOI10.1016/0304-4076(89)90059-6zbMath0692.62013OpenAlexW2086471677MaRDI QIDQ583758

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 matrixmoving average representationclosed-form expressionestimated vector autoregressive processorthogonal residuals

Mathematics Subject Classification ID

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

Related Items

Asymptotically valid Bayesian inference in the presence of distributional misspecification in VAR models, Moving-average representation of autoregressive approximations, ON THE ASYMPTOTIC DISTRIBUTION OF IMPULSE RESPONSE FUNCTIONS WITH LONG-RUN RESTRICTIONS, Asymptotic distributions of impulse response functions in short panel vector autoregressions, Inference for impulse response coefficients from multivariate fractionally integrated processes

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