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Estimating Orthogonal Impulse Responses viaVector Autoregressive Models

Published online by Cambridge University Press:  11 February 2009

Helmut Lütkepohl  and
D.S. Poskitt
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Abstract

Impulse response functions from time series models arestandard tools for analyzing the relationshipbetween economic variables. The asymptoticdistribution of orthogonalized impulse responses isderived under the assumption that finite ordervector autoregressive (VAR) models are fitted totime series generated by possibly infinite orderprocesses. The resulting asymptotic distributions offorecast error variance decompositions are alsogiven.

Information

Type
Research Article
Information
Econometric Theory , Volume 7 , Issue 4 , December 1991 , pp. 487 - 496
Copyright
Copyright © Cambridge University Press 1991

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