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Estimating Orthogonal Impulse Responses via Vector 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 are standard tools for analyzing the relationship between economic variables. The asymptotic distribution of orthogonalized impulse responses is derived under the assumption that finite order vector autoregressive (VAR) models are fitted to time series generated by possibly infinite order processes. The resulting asymptotic distributions of forecast error variance decompositions are also given.

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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