Asymptotic distributions of impulse response functions in short panel vector autoregressions

DOI10.1016/J.JECONOM.2011.03.004zbMath1441.62628OpenAlexW1974537705MaRDI QIDQ737958

Bolong Cao, Yixiao Sun

Publication date: 12 August 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.03.004

zbMATH Keywords

bootstrapasymptotic distributionpanel datavector autoregressionsnonorthogonalized impulse response functionorthogonalized impulse response function

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (2)

Improved GMM estimation of panel VAR models ⋮ First difference transformation in panel VAR models: Robustness, estimation, and inference

Cites Work

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• The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models
• A note on the asymptotic distribution of impulse response functions of estimated VAR models with orthogonal residuals
• Formulation and estimation of dynamic models using panel data
• Inference in dynamic models containing 'surprise' variables
• ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION
• Estimation of Dynamic Models with Error Components
• Panel Data Econometrics
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
• The bootstrap and Edgeworth expansion

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