Estimation of impulse response functions using long autoregression
type: Item
instance of: scholarly article
title: Estimation of impulse response functions using long autoregression
zbMATH Open document ID: 1122.62076
author: Pao-Li Chang
author: Shinichi Sakata
publication date: 2007-11-21T00:00:00Z
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 5213453
zbMATH Keywords: local projection
MaRDI profile type: Publication
cites work: Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
cites work: Time series: theory and methods.
cites work: Stochastic Limit Theory
cites work: Multivariate time series analysis
cites work: Recursive estimation of mixed autoregressive-moving average order
cites work: Q4039873
cites work: Automatic Lag Selection in Covariance Matrix Estimation
cites work: Error Bands for Impulse Responses
DOI: 10.1111/J.1368-423X.2007.00216.X
published in: Econometrics Journal
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description: scientific article; zbMATH DE number 5213453