Estimation of impulse response functions using long autoregression

This article proposes an alternative methodology to estimate impulse response functions without imposing parametric restrictions. The impulse responses are estimated by regressing the series of interest on estimated innovations, which are the residuals obtained from a prior-stage "long autoregression." We establish the consistency and asymptotic normality of the proposed estimator. Copyright Royal Economic Society 2007

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Year of publication:	2007
Authors:	Chang, Pao-Li ; Sakata, Shinichi
Published in:	Econometrics Journal. - Royal Economic Society - RES. - Vol. 10.2007, 2, p. 453-469
Publisher:	Royal Economic Society - RES

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005100154