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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


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