A Misspecification-Robust Impulse Response Estimator
Impulse response analysis is typically conducted by fitting an autoregression model to a time series and calculating the moving average coefficients implied by the estimated autoregression model. The possible shape and persistence of the impulse response function implied by a parsimonious autoregres...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2002
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/688 https://ink.library.smu.edu.sg/context/soe_research/article/1687/viewcontent/irf1.pdf |
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| Institution: | Singapore Management University |
| Language: | English |