Generalized impulse response analysis in linear multivariate models
Tài liệu tham khảo
Engle, 1987, Cointegration and error correction representation: estimation and testing, Econometrica, 55, 251, 10.2307/1913236
Johansen, S., 1995. Likelihood-based inference in cointegrated vector autoregressive models. Oxford University Press, Oxford.
King, 1991, Stochastic trends and economic fluctuations, American Economic Review, 81, 819
Koop, 1996, Impulse response analysis in nonlinear multivariate models, Journal of Econometrics, 74, 119, 10.1016/0304-4076(95)01753-4
Lütkepohl, H., 1991. Introduction to multiple time series analysis. Springer-Verlag, Berlin.
Lütkepohl, 1992, Impulse response analysis of cointegrated systems, Journal of Economic and Dynamic Controls, 16, 53, 10.1016/0165-1889(92)90005-Y
Pesaran, M.H., Pesaran, B., 1997. Working with Microfit 4.0: An interactive econometric software package (DOS and Windows versions). Oxford University Press, Oxford.
Pesaran, M.H., Shin, Y., 1997. Long-run structural modelling. Unpublished manuscript. University of Cambridge. (Internet: http\\www.econ.cam.ac.uk\faculty\pesaran\).
Pesaran, 1996, Cointegration and speed of convergence to equilibrium, Journal of Econometrics, 71, 117, 10.1016/0304-4076(94)01697-6
Pesaran, M.H., Shin Y., Smith, R.J., 1997. Structural analysis of vector autoregressive models with exogenous I(1) variables. DAE Working Papers Amalgamated Series No. 9706, University of Cambridge. (Internet: http\\www.econ.cam.ac.uk\faculty\pesaran\).
Sims, 1980, Macroeconomics and Reality, Econometrica, 48, 1, 10.2307/1912017