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Impulse Response Analysis

M. Hashem Pesaran

in Time Series and Panel Data Econometrics

Published in print:
2015
Published Online:
March 2016
ISBN:
9780198736912
eISBN:
9780191800504
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198736912.003.0024
Subject:
Economics and Finance, Econometrics

This chapter first introduces impulse response analysis and forecast error variance decomposition for unrestricted vector autoregressive (VAR) models and discusses the orthogonalized and generalized ... More


Time Series and Panel Data Econometrics

M. Hashem Pesaran

Published in print:
2015
Published Online:
March 2016
ISBN:
9780198736912
eISBN:
9780191800504
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198736912.001.0001
Subject:
Economics and Finance, Econometrics

This book is concerned with recent developments in time series and panel data techniques for the analysis of macroeconomic and financial data. It provides an account of the time series techniques ... More


Fundamental Problems with Nonfundamental Shocks

Helmut Lütkepohl

in Essays in Nonlinear Time Series Econometrics

Published in print:
2014
Published Online:
August 2014
ISBN:
9780199679959
eISBN:
9780191760136
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199679959.003.0008
Subject:
Economics and Finance, Econometrics

Economic agents using information that is not incorporated in the econometric model is seen as a possible reason for why nonfundamental shocks are important in econometric models. Allowing for ... More


Theory and Practice of GVAR Modelling

M. Hashem Pesaran

in Time Series and Panel Data Econometrics

Published in print:
2015
Published Online:
March 2016
ISBN:
9780198736912
eISBN:
9780191800504
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198736912.003.0033
Subject:
Economics and Finance, Econometrics

This chapter discusses the global vector autoregressive (GVAR) approach, which provides a relatively simple yet effective way of modelling complex high-dimensional systems, such as the global ... More


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