Asymptotic Distributions of Impulse Response Functions and Forecast Error Variance Decompositions of Vector Autoregressive Models
In recent years, vector autoregressive models have become standard tools for economic analyses. Impulse response functions and forecast error variance decompositions are usually computed from these models in order to investigate the interrelationships within the system. However, sometimes no measures of estimation uncertainty are provided by authors. One reason may be that the relevant asymptotic distribution theory is distributed over various publications. In this article, the available results are summarized and the missing links are provided in order to facilitate the computation of standard errors and test statistics. Copyright 1990 by MIT Press.
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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 72 (1990)
Issue (Month): 1 (February)
|Contact details of provider:|| Web page: http://mitpress.mit.edu/journals/|
|Order Information:||Web: http://mitpress.mit.edu/journal-home.tcl?issn=00346535|
When requesting a correction, please mention this item's handle: RePEc:tpr:restat:v:72:y:1990:i:1:p:116-25. 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: (Kristin Waites)
If references are entirely missing, you can add them using this form.