Consistency of averaged impulse response estimators in vector autoregressive models

DOI10.1111/jtsa.12733MaRDI QIDQ6604024

Jean-Pierre Urbain, Franz C. Palm, Jan Lohmeyer

Publication date: 12 September 2024

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

zbMATH Keywords

structural VARimpulse responsesfrequentist model averagingsmoothed AICsmoothed BIC

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05) Inference from stochastic processes (62Mxx)

Cites Work

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