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Impulse Response Functions Based on a Causal Approach to Residual Orthogonalizaton in Vector Autoregressions

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Norman R. Swanson
C. W.J. Granger

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File URL: ftp://weber.ucsd.edu/pub/econlib/dpapers/ucsd9250.ps.gz
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Paper provided by Department of Economics, UC San Diego in its series University of California at San Diego, Economics Working Paper Series with number 92-50.

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Date of creation: Nov 1992
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Handle: RePEc:cdl:ucsdec:92-50

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Runkle, David E, 1987. "Vector Autoregressions and Reality," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(4), pages 437-42, October.
  2. Runkle, David E, 1987. "Vector Autoregressions and Reality: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(4), pages 454, October.
  3. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January. [Downloadable!] (restricted)
  4. Weiss, Andrew A., 1984. "Systematic sampling and temporal aggregation in time series models," Journal of Econometrics, Elsevier, vol. 26(3), pages 271-281, December. [Downloadable!] (restricted)
  5. Wei, William W. S., 1978. "The effect of temporal aggregation on parameter estimation in distributed lag model," Journal of Econometrics, Elsevier, vol. 8(2), pages 237-246, October. [Downloadable!] (restricted)
  6. David E. Runkle, 1987. "Vector autoregressions and reality," Staff Report 107, Federal Reserve Bank of Minneapolis. [Downloadable!]
  7. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July. [Downloadable!] (restricted)
  8. Gilli, Manfred, 1992. "Causal Ordering and Beyond," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 33(4), pages 957-71, November. [Downloadable!] (restricted)
  9. Christopher A. Sims, 1980. "Comparison of Interwar and Postwar Business Cycles: Monetarism Reconsidered," NBER Working Papers 0430, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  10. Richard M. Todd, 1990. "Vector autoregression evidence on monetarism: another look at the robustness debate," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Spr, pages 19-37. [Downloadable!]
  11. Zellner, Arnold, 1979. "An Error-Components Procedure (ECP) for Introducing Prior Information about Covariance Matrices and Analysis of Multivariate Regression Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 20(3), pages 679-92, October. [Downloadable!] (restricted)
  12. Granger, C. W. J., 1988. "Some recent development in a concept of causality," Journal of Econometrics, Elsevier, vol. 39(1-2), pages 199-211. [Downloadable!] (restricted)
  13. Renault, E. & Szafarz, A., 1991. "True Versus Spurious Instantaneous Causality," Papers 9103, Universite Libre de Bruxelles - C.E.M.E..
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  14. McElroy, F W, 1978. "A Simple Method of Causal Ordering," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 19(1), pages 1-23, February. [Downloadable!] (restricted)
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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Duke, Joshua M. & Awokuse, Titus O., 2004. "The Causal Structure Of Land Price Determinants," 2004 Annual meeting, August 1-4, Denver, CO 20324, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
    Other versions:
  2. Òscar Jordà, 2005. "Estimation and Inference of Impulse Responses by Local Projections," American Economic Review, American Economic Association, vol. 95(1), pages 161-182, March. [Downloadable!]
  3. Alessio Moneta, 2005. "Causality in macroeconometrics: some considerations about reductionism and realism," Journal of Economic Methodology, Taylor and Francis Journals, vol. 12(3), pages 433-453, September. [Downloadable!] (restricted)
  4. Alessio Moneta, 2003. "Graphical Models for Structural Vector Autoregressions," LEM Papers Series 2003/07, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
  5. Alessio Moneta & Peter Spirtes, 2005. "Graph-Based Search Procedure for Vector Autoregressive Models," LEM Papers Series 2005/14, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
  6. Lee, Andrew C. & Kim, Man-Keun, 2004. "Causality Among Fed Cattle Market Variables: Directed Acyclic Graphs Analysis Of Captive Supply," 2004 Annual meeting, August 1-4, Denver, CO 20124, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
  7. Titus O. Awokuse, 2005. "Export-led growth and the Japanese economy: evidence from VAR and directed acyclic graphs," Applied Economics Letters, Taylor and Francis Journals, vol. 12(14), pages 849-858, November. [Downloadable!] (restricted)
    Other versions:
  8. Oscar Jorda, 2004. "Model-Free Impulse Responses," Macroeconomics 0403016, EconWPA. [Downloadable!]
    Other versions:
  9. Park, Moonsoo & Jin, Yanhong H & Bessler, David A., 2008. "The Impacts of Animal Disease Crises on the Korean Meat Market," 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida 6365, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
    Other versions:
  10. Jin Zhang & David A. Bessler & David J. Leatham, 2006. "Does consumer debt cause economic recession? Evidence using directed acyclic graphs," Applied Economics Letters, Taylor and Francis Journals, vol. 13(7), pages 401-407, June. [Downloadable!] (restricted)
  11. Babula, Ronald A. & Bessler, David A. & Rogowsky, Robert A., 2005. "Dynamic Economic Relationships Among U.S. Soy Product Markets: Using a Cointegrated Vector Autoregression Approach with Directed Acyclic Graphs," Working Paper ID Series 15880, United States International Trade Commission, Office of Industries. [Downloadable!]
  12. Bryant, Henry L. & Bessler, David A. & Haigh, Michael S., 2003. "Causality In Futures Markets," Working Papers 28574, University of Maryland, Department of Agricultural and Resource Economics. [Downloadable!]
  13. Vitale, Jeffrey & Bessler, David, 2006. "The 2004 Niger Food Crisis: What Role Can Price Discovery Play in Famine Early Warning Systems?," 2006 Annual meeting, July 23-26, Long Beach, CA 21316, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
  14. Bessler, David & Leatham, David J. & Yang, Juan, 2005. "In Search of the "Bank Lending Channel": Causality Analysis for the Transmission Mechanism of U.S. Monetary Policy," 2005 Annual meeting, July 24-27, Providence, RI 19558, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
  15. Yu, Tun-Hsiang Edward & Bessler, David A. & Fuller, Stephen W., 2004. "Analysis Of Dynamic Interrelationships Between Transportation Rates And Grain Prices," 2004 Annual meeting, August 1-4, Denver, CO 20339, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
  16. Bryant, Henry L. & Bessler, David A. & Haigh, Michael S., 2006. "Disproving Causal Relationships Using Observational Data," 2006 Annual meeting, July 23-26, Long Beach, CA 21166, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
    Other versions:
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