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)

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)

Cites work

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• Inference after model averaging in linear regression models
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• Model Selection: An Integral Part of Inference
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• Order selection for same-realization predictions in autoregressive processes
• Problems related to confidence intervals for impulse responses of autoregressive processes
• Simultaneous confidence bands for Yule-Walker estimators and order selection
• The bootstrap and Edgeworth expansion
• The cointegrated VAR model: Methodology and applications.
• The distribution of model averaging estimators and an impossibility result regarding its estima\-tion

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