Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions

DOI10.1016/0304-4076(93)90029-5zbMath0787.62093OpenAlexW2080720591MaRDI QIDQ1314479

Phillip A. Braun, Stefan Mittnik

Publication date: 16 February 1994

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(93)90029-5

zbMATH Keywords

closed-form expressionsvariance decompositionsinconsistencyvector autoregressionsARMA representationmodel misspecificationsestimated impulse responsesincorrect orthogonalization of innovationsincorrectly specified lag lengthsmoving average termstrivariate economic modelVAR-parameter estimates

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (5)

Two-step adaptive model selection for vector autoregressive processes ⋮ Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity ⋮ Asymptotics for estimation of quantile regressions with truncated infinite-dimensional proc\-ess\-es ⋮ Linear bootstrap methods for vector autoregressive moving-average models ⋮ How accurate are confidence intervals for impulse responses in large VAR models?

Cites Work

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• Non-recursive methods for computing the coefficients of the autoregressive and the moving-average representation of mixed ARMA processes
• On univariate time series methods and simultaneous equation econometric models
• Time series analysis and simultaneous equation econometric models
• The effect of transformations of variables upon their correlation coefficients
• Forecasting and conditional projection using realistic prior distributions

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