Which impulse response function?
Ronayne, David (2011) Which impulse response function? Working Paper. Coventry: University of Warwick. Dept. of Economics. Warwick economics research paper series (TWERPS), Vol.2011 (No.971).
WRAP_Ronayne_twerp_971.pdf - Draft Version
Official URL: http://www2.warwick.ac.uk/fac/soc/economics/resear...
This paper compares standard and local projection techniques in the production of impulse response functions both theoretically and empirically. Through careful selection of a structural decomposition, the comparison continues to an application of US data to the textbook ISLM model. It is argued that local projection techniques offer a remedy to the bias of the conventional method especially at horizons longer than the vector autoregression's lag length. The application highlights that the techniques can have different answers to important questions.
|Item Type:||Working or Discussion Paper (Working Paper)|
|Subjects:||H Social Sciences > HB Economic Theory|
|Divisions:||Faculty of Social Sciences > Economics|
|Library of Congress Subject Headings (LCSH):||Econometric models|
|Series Name:||Warwick economics research paper series (TWERPS)|
|Publisher:||University of Warwick. Dept. of Economics|
|Place of Publication:||Coventry|
|Status:||Not Peer Reviewed|
|Access rights to Published version:||Open Access|
Ayat, L., and Burridge, P., 2000, Unit root tests in the presence of uncertainty about the non-stochastic trend, Journal of Econometrics, (95) 71-96.
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