Consistency of averaged impulse response estimators in vector autoregressive models

DOI10.1111/JTSA.12733MaRDI QIDQ6604024FDOQ6604024

Authors: Jan Lohmeyer, Franz C. Palm, Jean-Pierre Urbain 

Publication date: 12 September 2024

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

zbMATH Keywords

impulse responsesstructural VARfrequentist model averagingsmoothed AICsmoothed BIC

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Inference from stochastic processes (62Mxx)

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