Impulse Response and Forecast Error Variance Asymptotics in Nonstationary VAR's
Year of publication: |
1995-06
|
---|---|
Authors: | Phillips, Peter C.B. |
Institutions: | Cowles Foundation for Research in Economics, Yale University |
Subject: | Error correction model | forecast error variance decomposition | asymptotics | impulse response asymptotics | reduced rank regression | vector autoregression | unit root asymptotics |
-
Maximum likelihood estimation of the I(2) model under linear restrictions
Doornik, Jurgen A., (2017)
-
Chao, John C., (1997)
-
Maximum likelihood estimation of the I(2) model under linear restrictions
Doornik, Jurgen A., (2017)
- More ...
-
Nonparametric Predictive Regression
Kasparis, Ioannis, (2012)
-
On Confidence Intervals for Autoregressive Roots and Predictive Regression
Phillips, Peter C.B., (2012)
-
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior
Phillips, Peter C.B., (2012)
- More ...