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A note on the asymptotic distribution of impulse response functions of estimated var models with orthogonal residuals

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  • Lutkepohl, Helmut

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  • Lutkepohl, Helmut, 1989. "A note on the asymptotic distribution of impulse response functions of estimated var models with orthogonal residuals," Journal of Econometrics, Elsevier, vol. 42(3), pages 371-376, November.
    • Handle: RePEc:eee:econom:v:42:y:1989:i:3:p:371-376
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    Cited by:

    1. Antonio Diez de Los Rios, 2015. "A New Linear Estimator for Gaussian Dynamic Term Structure Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(2), pages 282-295, April.
    2. Helge Berger & Pär Österholm, 2011. "Does Money Growth Granger Cause Inflation in the Euro Area? Evidence from Out‐of‐Sample Forecasts Using Bayesian VARs," The Economic Record, The Economic Society of Australia, vol. 87(276), pages 45-60, March.
    3. Helge Berger & Pär Österholm, 2011. "Does Money matter for U.S. Inflation? Evidence from Bayesian VARs," CESifo Economic Studies, CESifo, vol. 57(3), pages 531-550, September.
    4. Cao, Bolong & Sun, Yixiao, 2011. "Asymptotic distributions of impulse response functions in short panel vector autoregressions," Journal of Econometrics, Elsevier, vol. 163(2), pages 127-143, August.
    5. Jeff B. Cromwell & Michael J. Hannan, 1993. "The Utility of Impulse Response Functions in Regional Analysis: Some Critical Issues," International Regional Science Review, , vol. 15(2), pages 199-222, August.
    6. Raul Ibarra, 2016. "How important is the credit channel in the transmission of monetary policy in Mexico?," Applied Economics, Taylor & Francis Journals, vol. 48(36), pages 3462-3484, August.
    7. Bergman, Michael, 1996. "International evidence on the sources of macroeconomic fluctuations," European Economic Review, Elsevier, vol. 40(6), pages 1237-1258, June.
    8. Becker, Torbjorn, 1997. "An investigation of Ricardian equivalence in a common trends model," Journal of Monetary Economics, Elsevier, vol. 39(3), pages 405-431, August.
    9. Richard T. Baillie & George Kapetanios & Fotis Papailias, 2017. "Inference for impulse response coefficients from multivariate fractionally integrated processes," Econometric Reviews, Taylor & Francis Journals, vol. 36(1-3), pages 60-84, March.
    10. Mounir Ben Mbarek & Samia Nasreen & Rochdi Feki, 2017. "The contribution of nuclear energy to economic growth in France: short and long run," Quality & Quantity: International Journal of Methodology, Springer, vol. 51(1), pages 219-238, January.
    11. Capistrán Carlos & Ibarra-Ramírez Raúl & Ramos Francia Manuel, 2011. "Exchange Rate Pass-Through to Prices: Evidence from Mexico," Working Papers 2011-12, Banco de México.
    12. Antonio Diez de los Rios, 2017. "Optimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions," Staff Working Papers 17-33, Bank of Canada.
    13. Bühlmann, Peter, 1995. "Moving-average representation of autoregressive approximations," Stochastic Processes and their Applications, Elsevier, vol. 60(2), pages 331-342, December.
    14. Helge Berger & Pär Österholm, 2011. "Does Money Growth Granger Cause Inflation in the Euro Area? Evidence from Out‐of‐Sample Forecasts Using Bayesian VARs," The Economic Record, The Economic Society of Australia, vol. 87(276), pages 45-60, March.
    15. Gavosto, Andrea & Pellegrini, Guido, 1999. "Demand and supply shocks in Italy:: An application to industrial output," European Economic Review, Elsevier, vol. 43(9), pages 1679-1703, October.

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