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Generalized impulse response analysis for time-varying VAR models

Author

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  • Tan, Li
  • Bian, Shibo
  • Yan, Yayi
  • Hu, Zhiming

Abstract

This paper considers estimation and inference of time-varying generalized impulse response functions (TV-GIRFs) for time-varying vector autoregressive (VAR) models. We use the local linear kernel method to estimate time-varying model coefficients, propose an easy-to-implement estimator for TV-GIRFs, and then establish its asymptotic properties for inferential purposes. Extensive simulation experiments show that our estimation method works well in finite samples. To demonstrate the empirical relevance, we apply the proposed TV-GIRFs to estimate the time-variation in U.S. government spending multipliers and the time-varying volatility spillovers among five major Asian stock markets, respectively.

Suggested Citation

  • Tan, Li & Bian, Shibo & Yan, Yayi & Hu, Zhiming, 2026. "Generalized impulse response analysis for time-varying VAR models," Economic Modelling, Elsevier, vol. 155(C).
    • Handle: RePEc:eee:ecmode:v:155:y:2026:i:c:s026499932500447x
    DOI: 10.1016/j.econmod.2025.107452
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    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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