Publication Type

Working Paper

Version

publishedVersion

Publication Date

8-2002

Abstract

Impulse response analysis is typically conducted by fitting an autoregression model to a time series and calculating the moving average coefficients implied by the estimated autoregression model. The possible shape and persistence of the impulse response function implied by a parsimonious autoregression specification are very limited. This paper proposes an alternative approach to estimating impulse response function, which is asymptotically valid yet is less sensitive to model misspecifications in small samples. The small sample advantages of the proposed impulse response estimator over the conventional approach is demonstrated by Monte Carlo studies. The large sample validity of the proposed estimator is also established.

Keywords

Nonparametric, Persistence, Two-Stage Estimation

Discipline

Econometrics | Economics

Research Areas

Econometrics

Volume

15-2002

First Page

1

Last Page

40

Publisher

SMU Economics and Statistics Working Paper Series, No. 15-2002

City or Country

Singapore

Copyright Owner and License

Authors

Included in

Econometrics Commons

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