Impulse response analysis in infinite order cointegrated vector autoregressive processes
Authors:
- 1 November 1997
- journal article
- Published by Elsevier in Journal of Econometrics
- Vol. 81 (1) , 127-157
Abstract
No abstract availableKeywords
This publication has 18 references indexed in Scilit:
- Testing for Causation Using Infinite Order Vector Autoregressive ProcessesEconometric Theory, 1996
- Testing for nonzero impulse responses in vector autoregressive processesJournal of Statistical Planning and Inference, 1996
- Estimating Orthogonal Impulse Responses via Vector Autoregressive ModelsEconometric Theory, 1991
- INSTABILITY OF THE U.S. MONEY DEMAND FUNCTIONJournal of Economic Surveys, 1991
- Estimation for Partially Nonstationary Multivariate Autoregressive ModelsJournal of the American Statistical Association, 1990
- MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEYOxford Bulletin of Economics and Statistics, 1990
- Asymptotic Distributions of Impulse Response Functions and Forecast Error Variance Decompositions of Vector Autoregressive ModelsReview of Economics and Statistics, 1990
- Asymptotic Distribution of the Moving Average Coefficients of an Estimated Vector Autoregressive ProcessEconometric Theory, 1988
- Prediction of multivariate time series by autoregressive model fittingJournal of Multivariate Analysis, 1985
- Consistent Autoregressive Spectral EstimatesThe Annals of Statistics, 1974