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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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2007
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| Subjects: | |
| 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 |