Testing for nonzero impulse responses in vector autoregressive processes

DOI10.1016/0378-3758(95)00042-9MaRDI QIDQ1918142zbMATH OpenOpenAlexFDO

Authors Helmut Lütkepohl

Publication date 6 November 1996

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0378-3758(95)00042-9

zbMATH Keywords

Wald testsimpulse response functionsapproximating infinite-order autoregressionsfinite-order VARinfinite-order processesinnovation accounting

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Impulse Response Functions Based on a Causal Approach to Residual Orthogonalization in Vector Autoregressions
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• On testing changes in autoregressive parameters of a VAR model

Cites work

• scientific article; zbMATH DE number 51202 (Why is no real title available?)
• scientific article; zbMATH DE number 192992 (Why is no real title available?)
• scientific article; zbMATH DE number 3549968 (Why is no real title available?)
• scientific article; zbMATH DE number 4001209 (Why is no real title available?)
• scientific article; zbMATH DE number 762913 (Why is no real title available?)
• Alternative forms of the wald test: how long is a piece of string?

Cited in

(3)

• Bootstrapping impulse responses in VAR analyses
• Joint confidence sets for structural impulse responses
• Impulse response analysis in infinite order cointegrated vector autoregressive processes

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