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Inference for impulse response coefficients from multivariate fractionally integrated processes.

Authors :
Baillie, Richard T.
Kapetanios, George
Papailias, Fotis
Source :
Econometric Reviews; 2017, Vol. 36 Issue 1-3, p60-84, 25p
Publication Year :
2017

Abstract

This article considers a multivariate system of fractionally integrated time series and investigates the most appropriate way for estimating Impulse Response (IR) coefficients and their associated confidence intervals. The article extends the univariate analysis recently provided by Baillie and Kapetanios (2013), and uses a semiparametric, time domain estimator, based on a vector autoregression (VAR) approximation. Results are also derived for the orthogonalized estimatedIRswhich are generally more practically relevant. Simulation evidence strongly indicates the desirability of applying the Kilian small sample bias correction, which is found to improve the coverage accuracy of confidence intervals forIRs. The most appropriate order of theVARturns out to be relevant for the lag length of theIRbeing estimated. [ABSTRACT FROM AUTHOR]

Details

Language :
English
ISSN :
07474938
Volume :
36
Issue :
1-3
Database :
Complementary Index
Journal :
Econometric Reviews
Publication Type :
Academic Journal
Accession number :
118671223
Full Text :
https://doi.org/10.1080/07474938.2015.1114253