Consistency of averaged impulse response estimators in vector autoregressive models

DOI10.1111/JTSA.12733MaRDI QIDQ6604024zbMATH OpenFDO

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)

Full work available at URL https://doi.org/10.1111/JTSA.12733

zbMATH Keywords

frequentist model averagingimpulse responsessmoothed AICsmoothed BICstructural VAR

Mathematics Subject Classification ID

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

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