Impulse response and forecast error variance asymptotics in nonstationary VARs
Work
Year: 1998
Type: article
Abstract: 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 co... more
Source: Journal of Econometrics
Author Peter C.B. Phillips
Institution Yale University
Cites: 29
Cited by: 324
Related to: 10
FWCI: 14.17
Citation percentile (by year/subfield): 99.97
Domain: Social Sciences
Sustainable Development Goal Reduced inequalities
Open Access status: hybrid
APC paid (est): $3,700