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Time Series and Panel Data Econometrics$
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M. Hashem Pesaran

Print publication date: 2015

Print ISBN-13: 9780198736912

Published to Oxford Scholarship Online: March 2016

DOI: 10.1093/acprof:oso/9780198736912.001.0001

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Impulse Response Analysis

Impulse Response Analysis

(p.584) Chapter 24 Impulse Response Analysis
Time Series and Panel Data Econometrics

M. Hashem Pesaran

Oxford University Press

This chapter first introduces impulse response analysis and forecast error variance decomposition for unrestricted vector autoregressive (VAR) models and discusses the orthogonalized and generalized impulse response functions. It then considers the identification problem of short-run effects in a structural VAR model. It reviews Sims' approach and investigates the identification problem of a structural model when one or more of the structural shocks have permanent effects. Exercises are provided at the end of the chapter.

Keywords:   impulse response analysis, forecast error variance decomposition, unrestricted vector autoregressive models, generalized impulse response functions, orthogonalized impulse response functions, structural shocks, persistence profiles, structural VARs

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