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Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes (1995)
| Venue: | Journal of Econometrics |
| Citations: | 9 - 3 self |
BibTeX
@ARTICLE{Lütkepohl95impulseresponse,
author = {Helmut Lütkepohl and Pentti Saikkonen},
title = {Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes},
journal = {Journal of Econometrics},
year = {1995},
volume = {81},
pages = {127--157}
}
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Abstract
Various types of impulse responses have been used for interpreting finite order vector autoregessive (VAR) models in the stationary as well as the nonstationary cointegrated case. In practice, finite order VAR processes are regarded as rough approximations to the actual data generation process at best. Therefore we derive some general asymptotic results for infinite order cointegrated VAR processes that are used for inference on impulse responses. The theory is based on the assumption that finite order VARs are fitted to the time series of interest although the true order may be infinite. The order of the fitted process is, however, assumed to increase with the sample size. The theoretical results are illustrated by an empirical analysis of a German money demand system. Financial support by the DFG, Sonderforschungsbereich 373, is gratefully acknowledged. 1 Introduction Finite order vector autoregressive (VAR) models have been used extensively in applied econometric studies. These...
Keyphrases
impulse response analysis impulse response finite order vector autoregessive introduction finite order vector autoregressive sample size theoretical result financial support true order var process german money demand system time series various type empirical analysis rough approximation infinite order finite order var process applied econometric study fitted process actual data generation process general asymptotic result finite order var
