Do, Hung Xuan; Brooks, Robert Darren; Treepongkaruna, … - In: Economics Letters 118 (2013) 3, pp. 462-465
We develop a generalized impulse response function for the fractionally integrated vector autoregressive (FIVAR) model using the Pesaran and Shin (1998) approach. Our method is different from the methodology shown in Chung (2001) since it does not require us to orthogonalize the error vector...