منابع مشابه
Model-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...
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 order determination using the Hankel matrix of impulse responses
This letter studies identification problems of model orders using the Hankel matrix of impulse responses of a system and presents two order identificationmethods: one is based on the singularities or ratios of the Hankel matrix determinants and the other is based on the singular value decomposition of the Hankel matrix. A numerical example verifies the proposed methods. © 2011 Elsevier Ltd. All...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2003
ISSN: 1556-5068
DOI: 10.2139/ssrn.452221