Estimation of Impulse Response Functions Using Long Autoregression

Estimation of Impulse Response Functions Using Long Autoregression

This article proposes an alternative methodology to estimate impulse response functions without imposing parametric restrictions. The impulse responses are estimated by regressing the series of interest on estimated innovations, which are the residuals obtained from a prior-stage ‘long autoregressio...

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Bibliographic Details
Main Authors: CHANG, Pao Li, SAKATA, Shinichi
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2007
Subjects:
Local projection
autogression
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/503
https://ink.library.smu.edu.sg/context/soe_research/article/1502/viewcontent/Estimation_of_Impulse_Response_Paolichang_2007.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/503
https://ink.library.smu.edu.sg/context/soe_research/article/1502/viewcontent/Estimation_of_Impulse_Response_Paolichang_2007.pdf

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