Estimation of Impulse Response Functions Using Long Autoregression

• 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
• Institution: Singapore Management University

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...