ASYMPTOTIC DISTRIBUTIONS OF IMPULSE RESPONSES, STEP RESPONSES, AND VARIANCE DECOMPOSITIONS OF ESTIMATED LINEAR DYNAMIC-MODELS

被引:27
作者
MITTNIK, S [1 ]
ZADROZNY, PA [1 ]
机构
[1] GTE LABS INC,WALTHAM,MA 02254
关键词
VARMA MODELS; ASYMPTOTIC NORMAL APPROXIMATIONS; ANALYTIC DERIVATIVES; RECURSIVE AND CLOSED-FORM COMPUTATIONS;
D O I
10.2307/2951765
中图分类号
F [经济];
学科分类号
02 ;
摘要
Formulas are derived for computing asymptotic covariance matrices of sets of impulse responses, step responses, or variance decompositions of estimated dynamic simultaneous-equations models in vector autoregressive moving-average (VARMA) form. Computed covariances would be used to test linear restrictions on sets of impulse responses, step responses, or variance decompositions. The results unify and extend previous formulas to handle any model in VARMA form, provide accurate computations based on analytic derivatives, and provide insights into the structures of the asymptotic covariances.
引用
收藏
页码:857 / 870
页数:14
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