Normalization, Probability Distribution, and Impulse Responses
نویسندگان
چکیده
منابع مشابه
Normalization, Probability Distribution, and Impulse Responses
When impulse responses in dynamic multivariate models such as identified VARs are given economic interpretations, it is important that reliable statistical inferences be provided. Before probability assessments are provided, however, the model must be normalized. Contrary to the conventional wisdom, this paper argues that normalization, a rule of reversing signs of coefficients in equations in ...
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 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...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 1998
ISSN: 1556-5068
DOI: 10.2139/ssrn.61444