Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions (Q1314479)
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scientific article; zbMATH DE number 502945
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions |
scientific article; zbMATH DE number 502945 |
Statements
Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions (English)
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16 February 1994
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model misspecifications
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vector autoregressions
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estimated impulse responses
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variance decompositions
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ARMA representation
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closed-form expressions
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inconsistency
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VAR-parameter estimates
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moving average terms
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incorrectly specified lag lengths
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incorrect orthogonalization of innovations
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trivariate economic model
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