Asymptotic Distributions of Impulse Responses, Step Responses, and Variance Decompositions of Estimated Linear Dynamic Models

DOI10.2307/2951765zbMath0780.62016OpenAlexW2064438094WikidataQ59410567 ScholiaQ59410567MaRDI QIDQ3142742

Peter A. Zadrozny, Stefan Mittnik

Publication date: 2 February 1994

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2951765

zbMATH Keywords

step responsesvariance decompositionslinear restrictionsVARMA modelsasymptotic covariance matricesanalytic derivativesasymptotic normal approximationsestimated dynamic simultaneous- equations modelsrecursive and closed-form computationssets of impulse responsesvector autoregressive moving-average

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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