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Computing level-impulse responses of log-specified VAR systems

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  • Wieringa, Jaap E.
  • Horvath, Csilla
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    File URL: http://www.sciencedirect.com/science/article/B6V92-4DN1PRY-1/2/37d9b43540690ed9606e2c30c0995673
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    Bibliographic Info

    Article provided by Elsevier in its journal International Journal of Forecasting.

    Volume (Year): 21 (2005)
    Issue (Month): 2 ()
    Pages: 279-289

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    Handle: RePEc:eee:intfor:v:21:y:2005:i:2:p:279-289

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    Web page: http://www.elsevier.com/locate/ijforecast

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    1. Ari�o, M.A. & Franses, Ph.H.B.F., 1996. "Forecasting the Levels of Vector Autoregressive Log-Transformed Time Series," Econometric Institute Research Papers EI 9669-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    2. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    3. Joseph, Nathan Lael, 2001. "Model Specification and Forecasting Foreign Exchange Rates with Vector Autoregressions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(7), pages 451-84, November.
    4. Vincent R. Nijs & Marnik G. Dekimpe & Jan-Benedict E.M. Steenkamps & Dominique M. Hanssens, 2001. "The Category-Demand Effects of Price Promotions," Marketing Science, INFORMS, vol. 20(1), pages 1-22, September.
    5. Park, Jinwoo & Shenoy, Catherine, 2002. "An examination of the dynamic behavior of aggregate bond and stock issues," International Review of Economics & Finance, Elsevier, vol. 11(2), pages 175-189, May.
    6. Ballabriga, Fernando & Sebastian, Miguel & Valles, Javier, 1999. "European asymmetries," Journal of International Economics, Elsevier, vol. 48(2), pages 233-253, August.
    7. Horváth, Csilla & Wieringa, Jaap E., 2003. "Combining time series and cross sectional data for the analysis of dynamic marketing systems," Research Report 03F13, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    8. Robert C. Blattberg & Kenneth J. Wisniewski, 1989. "Price-Induced Patterns of Competition," Marketing Science, INFORMS, vol. 8(4), pages 291-309.
    9. Leeflang, P.S.H. & Wittink, Dick R., 2000. "Building models for marketing decisions: past, present and future," Research Report 00F20, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    10. G. Dekimpe, Marnik & Hanssens, Dominique M. & Silva-Risso, Jorge M., 1998. "Long-run effects of price promotions in scanner markets," Journal of Econometrics, Elsevier, vol. 89(1-2), pages 269-291, November.
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    Cited by:
    1. De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.
    2. Günter, Tobias Maria, 2007. "Preispromotionanalysen in Vertriebslinien des Lebensmitteleinzelhandels: dynamische Kategorieeffekte und Einflussfaktoren," EconStor Theses, ZBW - German National Library of Economics, number 26755.

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