Inference for impulse response coefficients from multivariate fractionally integrated processes

Richard T. Baillie, George Kapetanios and Fotis Papailias

Econometric Reviews, 2017, vol. 36, issue 1-3, 60-84

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 estimated IRs which 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 for IRs . The most appropriate order of the VAR turns out to be relevant for the lag length of the IR being estimated.

Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1080/07474938.2015.1114253 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Inference for Impulse Response Coefficients From Multivariate Fractionally Integrated Processes (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:emetrv:v:36:y:2017:i:1-3:p:60-84

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/LECR20

DOI: 10.1080/07474938.2015.1114253

Access Statistics for this article

Econometric Reviews is currently edited by Dr. Essie Maasoumi

More articles in Econometric Reviews from Taylor & Francis Journals
Bibliographic data for series maintained by ().