Brüggemann, Ralf; Härdle, Wolfgang; Mungo, Julius; … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
model, unit
root tests, vector autoregression, impulse responses.
JEL classification: C14; C32
∗This research was supported … function,
L¨utkepohl (1991, Chapter 3) which we discuss next. Figure 3 shows the impulse responses
together with ±2 asymptotic ….
7
We have tried all possible variable orderings when computing the impulse responses and the
only notable change is …