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Impulse response and forecast error variance asymptotics in nonstationary VARs
Open accessAbstract
Estimated impulse responses and forecast error decompositions are shown to be inconsistent at long horizons in unrestricted VARs with some unit roots. Predictions from unrestricted VARs also do not converge to the optimal predictors over long forecast horizons. In contrast, reduced rank regressions produce impulse responses and forecast error variance estimates that are consistent and predictions that are asymptotically optimal, provided the cointegrating rank is correctly specified or consistently estimated by an order selector such as PIC. Some simulations show these findings to be relevant in finite samples in VARs with some unit roots and cointegration.
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Cites
STATISTICAL ANALYSIS OF COINTEGRATION VECTORS
Johansen, S. (1988) · Journal of Economic Dynamics and Control · doi:10.1016/0165-1889(88)90041-3 · Cited by 17,027
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A. Giles, J., & Williams, C. L. (2000) · The Journal of International Trade & Economic Development · doi:10.1080/09638190050086177 · Cited by 473
Local Projection Inference Is Simpler and More Robust Than You Think
Montiel Olea, J. L., & Plagborg-Møller, M. (2021) · Econometrica · doi:10.3982/ecta18756 · Cited by 437
INFRASTRUCTURE, LONG‐RUN ECONOMIC GROWTH AND CAUSALITY TESTS FOR COINTEGRATED PANELS
CANNING, D., & PEDRONI, P. (2008) · The Manchester School · doi:10.1111/j.1467-9957.2008.01073.x · Cited by 421
Metadata
- Authors
- Phillips, P. C. B.
- Venue
- Journal of Econometrics
- Publisher
- Elsevier BV
- Published
- 1998-03
- Volume
- 83
- Issue
- 1-2
- Pages
- 21-56
- ISSN
- 0304-4076 (ISSN-L)
- OpenAlex
- W1980289683
- Cited by
- 309
- References
- 1
- FWCI
- 21.02
- Type
- journal article
- Language
- en
- Open access
- hybrid
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- Phillips, P. C. B. (1998). Impulse response and forecast error variance asymptotics in nonstationary VARs. Journal of Econometrics. https://doi.org/10.1016/s0304-4076(97)00064-x
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