Generalized impulse response analysis in linear multivariate models
Опубликовано на портале: 07-04-2004
Economics Letters.
1998.
Vol. 58.
No. 1.
P. 17-29.
Тематический раздел:
Building on Koop, [Koop et al. (1996) Impulse response analysis in nonlinear multivariate
models. Journal of Econometrics 74, 119147] we propose the `generalized' impulse
response analysis for unrestricted vector autoregressive (VAR) and cointegrated VAR
models. Unlike the traditional impulse response analysis, our approach does not require
orthogonalization of shocks and is invariant to the ordering of the variables in
the VAR. The approach is also used in the construction of order-invariant forecast
error variance decompositions.
Ссылки
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Ключевые слова
cointegration forecast error variance decompositions generalized impulse responses VAR коинтеграция математическая модель ошибка прогнозирования эконометрическая модель
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