Estimation of Impulse Response Functions Using Long Autoregression  

Oleh:

Pao-Li, Chang ; Sakata, Shinichi

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 10 no. 2 (2007), page 453–469.
Topik: impulse; local projection
Fulltext: 453.pdf (547.55KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: EE39.3 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This article proposes an alternative methodology to estimate impulse response functions without imposing parametric restrictions. The impulse responses are estimated by regressing the series of interest on estimated innovations, which are the residuals obtained from a prior - stage 'long autoregression.' We establish the consistency and asymptotic normality of the proposed estimator. The proposed estimator is closely related to the estimator of Jordà (2005, American Economic Review95, 161 – 182). Our large sample analysis, as a byproduct, establishes the asymptotic equivalence between Jordà's estimator and our estimator, and provides justifications for the statistical inference method used in Jordà (2005).

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