Inference for impulse response coefficients from multivariate fractionally integrated processes
Richard T. Baillie, George Kapetanios, and Fotis Papailias
| Year of publication: |
2017
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|---|---|
| Authors: | Baillie, Richard ; Kapetanios, George ; Papailias, Fotis |
| Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 0731-1761, ZDB-ID 797463-2. - Vol. 36.2017, 1/3, p. 60-84
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| Subject: | Confidence intervals | fractional integration | impulse responses | long memory processes | VARs | VAR-Modell | VAR model | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Kointegration | Cointegration | ARMA-Modell | ARMA model | Stochastischer Prozess | Stochastic process | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07474938.2015.1114253 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011794639