Anthony Garratt, Kevin Lee, M. Hashem Pesaran, and Yongcheol Shin
- Published in print:
- 2006
- Published Online:
- September 2006
- ISBN:
- 9780199296859
- eISBN:
- 9780191603853
- Item type:
- chapter
- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0199296855.003.0006
- Subject:
- Economics and Finance, Econometrics
This chapter briefly reviews the econometric methods needed for the empirical analysis of cointegrating VAR models and the associated impulse response functions, including new materials (on the ...
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This chapter briefly reviews the econometric methods needed for the empirical analysis of cointegrating VAR models and the associated impulse response functions, including new materials (on the conditions under which error-correction models are mean-reverting, for example) that are particularly useful in practical macroeconometric modelling.Less
This chapter briefly reviews the econometric methods needed for the empirical analysis of cointegrating VAR models and the associated impulse response functions, including new materials (on the conditions under which error-correction models are mean-reverting, for example) that are particularly useful in practical macroeconometric modelling.
M. Hashem Pesaran
- 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 ...
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This chapter first introduces impulse response analysis and forecast error variance decomposition for unrestricted vector autoregressive (VAR) models and discusses the orthogonalized and generalized impulse response functions. It then considers the identification problem of short-run effects in a structural VAR model. It reviews Sims' approach and investigates the identification problem of a structural model when one or more of the structural shocks have permanent effects. Exercises are provided at the end of the chapter.Less
This chapter first introduces impulse response analysis and forecast error variance decomposition for unrestricted vector autoregressive (VAR) models and discusses the orthogonalized and generalized impulse response functions. It then considers the identification problem of short-run effects in a structural VAR model. It reviews Sims' approach and investigates the identification problem of a structural model when one or more of the structural shocks have permanent effects. Exercises are provided at the end of the chapter.
