Publication Type
Journal Article
Version
acceptedVersion
Publication Date
7-2007
Abstract
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 Review 95, 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).
Keywords
Local projection, autogression
Discipline
Econometrics
Research Areas
Econometrics
Publication
Econometrics Journal
Volume
10
Issue
2
First Page
453
Last Page
469
ISSN
1368-4221
Identifier
10.1111/j.1368-423X.2007.00216.x
Publisher
Wiley
Citation
CHANG, Pao Li and SAKATA, Shinichi.
Estimation of Impulse Response Functions Using Long Autoregression. (2007). Econometrics Journal. 10, (2), 453-469.
Available at: https://ink.library.smu.edu.sg/soe_research/503
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1111/j.1368-423X.2007.00216.x