Generalized Impulse Responses
نویسنده
چکیده
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.
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