Impulse response analysis in infinite order cointegrated vector autoregressive processes

DOI10.1016/S0304-4076(97)00037-7zbMath0922.62118MaRDI QIDQ1372925

Pentti Saikkonen, Helmut Lütkepohl

Publication date: 17 October 1999

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

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (13)

A MODIFIED INFORMATION CRITERION FOR COINTEGRATION TESTS BASED ON A VAR APPROXIMATION ⋮ Short run and long run causality in time series: inference ⋮ ESTIMATION OF THE KRONECKER COVARIANCE MODEL BY QUADRATIC FORM ⋮ Closed-form expressions for the regular part coefficients in matrix polynomial inversion and related results ⋮ AUTOMATIC INFERENCE FOR INFINITE ORDER VECTOR AUTOREGRESSIONS ⋮ Testing for the cointegration rank in threshold cointegrated systems with multiple cointegrating relationships ⋮ Bootstrapping impulse responses in VAR analyses ⋮ Granger's representation theorem: A closed‐form expression for I(1) processes ⋮ Asymptotic inference for dynamic panel estimators of infinite order autoregressive processes ⋮ Persistence-robust surplus-lag Granger causality testing ⋮ Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity ⋮ Asymptotics for estimation of quantile regressions with truncated infinite-dimensional proc\-ess\-es ⋮ Estimating cointegrated systems using subspace algorithms

Cites Work

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• Prediction of multivariate time series by autoregressive model fitting
• Impulse response analysis of cointegrated systems
• Consistent autoregressive spectral estimates
• Testing cointegration in infinite order vector autoregressive processes
• Cointegration and speed of convergence to equilibrium
• Testing for nonzero impulse responses in vector autoregressive processes
• Approximation Theorems of Mathematical Statistics
• Estimation for Partially Nonstationary Multivariate Autoregressive Models
• Error Bands for Impulse Responses

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