Эксоцман
на главную поиск contacts

Generalized impulse response analysis in linear multivariate models

Опубликовано на портале: 24-06-2004
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, 119–147] 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
текст статьи доступен на сайте Sience Direct: http://www.sciencedirect.com/science?_ob=ArticleURL&_udi=B6V84-3T51RH8-1B&_user=2124005&_handle=B-WA-A-A-AE-MsSAYWW-UUA-AUEUZDADBE-AUYYWCWCBE-VYCCCBCDB-AE-U&_fmt=summary&_coverDate=01%2F01%2F1998&_rdoc=3&_orig=browse&_srch=%23toc%235860%231998%23999419998%2315088!&_cdi=5860&view=c&_acct=C000056226&_version=1&_urlVersion=0&_userid=2124005&md5=de9d25c490f97423fcc40be677d36f68
BiBTeX
RIS
Ключевые слова

См. также:
Robert F. Stambaugh
[Учебная программа]
Michael Osterwald-Lenum
Oxford Bulletin of Economics and Statistics. 1992.  Vol. 54. No. 3. P. 461-472. 
[Статья]
[Компьютерная программа]
M. Hashem Pesaran, Yongcheol Shin
Economics Letters. 1998.  Vol. 58. No. 1. P. 17-29. 
[Статья]
Daniel Armeanu, Florentina-Olivia Balu
Theoretical and Applied Economics. 2007.  Vol. 2. No. 2. P. 83-92. 
[Статья]
Christopher Sims
Quarterly Review of the Federal Reserve Bank of Minneapolis. 1986.  Vol. 10. No. 1. P. 2-16. 
[Статья]