Estimation of impulse response functions using long autoregression

DOI10.1111/j.1368-423X.2007.00216.xzbMath1122.62076MaRDI QIDQ5427679

Shinichi Sakata, Pao-Li Chang

Publication date: 21 November 2007

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

zbMATH Keywords

local projection

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

Asymptotic inference for dynamic panel estimators of infinite order autoregressive processes

Cites Work

• Unnamed Item
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Time series: theory and methods.
• Multivariate time series analysis
• Recursive estimation of mixed autoregressive-moving average order
• Automatic Lag Selection in Covariance Matrix Estimation
• Stochastic Limit Theory
• Error Bands for Impulse Responses

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