Testing for nonzero impulse responses in vector autoregressive processes

DOI10.1016/0378-3758(95)00042-9zbMath0849.62050OpenAlexW2089238116MaRDI QIDQ1918142

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)

Related Items (3)

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

Cites Work

• Alternative forms of the wald test: how long is a piece of string?
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