Advanced Search
MyIDEAS: Login to save this paper or follow this series

Orthogonale und verallgemeinerte Impuls-Antwort-Funktionen in Vektor-Fehlerkorrekturmodellen

Contents:

Author Info

  • Andreas Nastansky
Registered author(s):

    Abstract

    Die Impuls-Antwort-Analyse – auch Schockanalyse genannt – stellt eine wichtige Möglichkeit der vertiefenden Analyse von vektorautoregressiven (VAR) Modellen dar. Bei der Schätzung der Impuls-Antwort-Folgen müssen die Zeitreiheneigenschaften der zugrundeliegenden Daten berücksichtigt werden. Weisen die Zeitreihen stochastische Trends auf und sind die Zeitreihen kointegriert, kann die Impuls-Antwort-Analyse auf der Basis eines kointegrierenden VAR-Modells (VECM) erfolgen. Pesaran und Shin (1998) entwickelten die verallgemeinerten (Generalized) Impuls-Antwort-Funktionen, um den Mangel der fehlenden Eindeutigkeit der orthogonalen Schockanalyse zu umgehen. Am Beispiel der Variablen einer Konsumfunktion für Deutschland werden die auf der Grundlage eines Vektor-Fehlerkorrekturmodells berechneten verallgemeinerten Impuls-Antwort-Folgen den orthogonalen gegenübergestellt.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://nbn-resolving.de/urn:nbn:de:kobv:517-opus-51162
    Download Restriction: no

    Bibliographic Info

    Paper provided by Universität Potsdam, Wirtschafts- und Sozialwissenschaftliche Fakultät in its series Statistische Diskussionsbeiträge with number 45.

    as in new window
    Length:
    Date of creation: Mar 2011
    Date of revision:
    Handle: RePEc:pot:statdp:45

    Contact details of provider:
    Postal: August-Bebel-Str. 89, 14482 Potsdam
    Phone: +49-331-977-3225
    Fax: +49-331-977-3210
    Email:
    Web page: http://www.uni-potsdam.de/wiso_dekanat/
    More information through EDIRC

    Related research

    Keywords: Impuls-Antwort-Analyse; Vektorautoregressive Modelle; Vektor-Fehlerkorrekturmodelle; Konsumfunktion;

    Find related papers by JEL classification:

    This paper has been announced in the following NEP Reports:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:pot:statdp:45. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Marco Winkler).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.