Inference for Impulse Responses
نویسندگان
چکیده
منابع مشابه
Inference for Structural Impulse Responses in SVAR-GARCH Models
Conditional heteroskedasticity can be exploited to identify the structural vector autoregressions (SVAR) but the implications for inference on structural impulse responses have not been investigated in detail yet. We consider the conditionally heteroskedastic SVAR-GARCH model and propose a bootstrap-based inference procedure on structural impulse responses. We compare the finite-sample properti...
متن کاملtitled “ Model - Free Impulse Responses ” August , 2003 Estimation and Inference of Impulse Responses by Local Projections
This paper introduces methods to compute impulse responses without specification and estimation of the underlying multivariate dynamic system. The central idea consists in estimating local projections at each period of interest rather than extrapolating into increasingly distant horizons from a given model, as it is done with vector autoregressions (VAR). The advantages of local projections are...
متن کاملtitled “ Model - Free Impulse Responses ” August , 2003 Estimation and Inference of Impulse Responses
This paper introduces methods to compute impulse responses without specification and estimation of the underlying multivariate dynamic system. The central idea consists in estimating local projections at each period of interest rather than extrapolating into increasingly distant horizons from a given model, as it is done with vector autoregressions (VAR). The advantages of local projections are...
متن کاملGeneralized Impulse Responses
This note discusses how to compute generalized impulse responses and their asymptotic distribution. The results I present are essentially vector versions of what has already been shown by, e.g., Pesaran and Shin (1998). The value added is therefore measurable in terms of providing simpler algorithms for writing the computer code needed to make use of generalized impulse responses in practise.
متن کاملModel-Free Impulse Responses
This paper introduces methods for computing impulse response functions that do not require specification and estimation of the unknown dynamic multivariate system itself. The central idea behind these methods is to estimate flexible local projections at each period of interest rather than extrapolating into increasingly distant horizons from a given model, as it is usually done in vector autore...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2007
ISSN: 1556-5068
DOI: 10.2139/ssrn.1001955