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Spectral Estimation of the Multivariate Impulse Response

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  • Tata Subba Rao
  • Granville Tunnicliffe Wilson
  • Granville Tunnicliffe Wilson

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Suggested Citation

  • Tata Subba Rao & Granville Tunnicliffe Wilson & Granville Tunnicliffe Wilson, 2017. "Spectral Estimation of the Multivariate Impulse Response," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(2), pages 381-391, March.
    • Handle: RePEc:bla:jtsera:v:38:y:2017:i:2:p:381-391
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    References listed on IDEAS

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    1. Litterman, Robert, 1986. "Forecasting with Bayesian vector autoregressions -- Five years of experience : Robert B. Litterman, Journal of Business and Economic Statistics 4 (1986) 25-38," International Journal of Forecasting, Elsevier, vol. 2(4), pages 497-498.
    2. Litterman, Robert B, 1986. "Forecasting with Bayesian Vector Autoregressions-Five Years of Experience," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 25-38, January.
    3. Wilson, G. Tunnicliffe, 1978. "A convergence theorem for spectral factorization," Journal of Multivariate Analysis, Elsevier, vol. 8(2), pages 222-232, June.
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