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Estimating Orthogonal Impulse Responses via Vector Autoregressive Models

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  • Lütkepohl, Helmut
  • Poskitt, D.S.

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Bibliographic Info

Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 7 (1991)
Issue (Month): 04 (December)
Pages: 487-496

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Handle: RePEc:cup:etheor:v:7:y:1991:i:04:p:487-496_00

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Cited by:
  1. Alastair R. Hall & Atsushi Inoue & James M Nason & Barbara Rossi, 2009. "Information Criteria for Impulse Response Function Matching Estimation of DSGE Models," Centre for Growth and Business Cycle Research Discussion Paper Series 127, Economics, The Univeristy of Manchester.
  2. Kilian, Lutz & Kim, Yun Jung, 2009. "Do Local Projections Solve the Bias Problem in Impulse Response Inference?," CEPR Discussion Papers 7266, C.E.P.R. Discussion Papers.
  3. Theodoridis, Konstantinos, 2011. "An efficient minimum distance estimator for DSGE models," Bank of England working papers 439, Bank of England.
  4. �scar Jord� & Massimiliano Marcellino, 2010. "Path forecast evaluation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 635-662.
  5. Liu, Philip & Theodoridis, Konstantinos, 2010. "DSGE model restrictions for structural VAR identification," Bank of England working papers 402, Bank of England.
  6. Oscar Jorda, 2007. "Inference for Impulse Responses," Working Papers 77, University of California, Davis, Department of Economics.
  7. Josheski, Dushko & Lazarov, Darko & Fotov, Risto & Koteski, Cane, 2011. "IS-LM model for US economy: testing in JMULTI," MPRA Paper 34024, University Library of Munich, Germany.
  8. H. Lütkepohl & P. Saikkonen, 1995. "Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes," SFB 373 Discussion Papers 1995,11, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  9. Bergman, Michael, 1996. "International evidence on the sources of macroeconomic fluctuations," European Economic Review, Elsevier, vol. 40(6), pages 1237-1258, June.
  10. John Galbraith & Aman Ullah & Victoria Zinde-Walsh, 2002. "Estimation Of The Vector Moving Average Model By Vector Autoregression," Econometric Reviews, Taylor & Francis Journals, vol. 21(2), pages 205-219.
  11. Atsushi Inoue & Lutz Kilian, 2014. "Joint Confidence Sets for Structural Impulse Responses," Departmental Working Papers 1401, Southern Methodist University, Department of Economics.

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