Impulse Response Analysis in Innnite Order Cointegrated Vector Autoregressive Processes
نویسنده
چکیده
Various types of impulse responses have been used for interpreting nite order vector au-toregessive (VAR) models in the stationary as well as the nonstationary cointegrated case. In practice, nite order VAR processes are regarded as rough approximations to the actual data generation process at best. Therefore we derive some general asymptotic results for innnite order cointegrated VAR processes that are used for inference on impulse responses. The theory is based on the assumption that nite order VARs are tted to the time series of interest although the true order may be innnite. The order of the tted process is, however , assumed to increase with the sample size. The theoretical results are illustrated by an empirical analysis of a German money demand system.
منابع مشابه
Innnite Order Cointegrated Vector Autoregressive Processes: Estimation and Inference
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