کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5096580 | 1376536 | 2011 | 17 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Asymptotic distributions of impulse response functions in short panel vector autoregressions Asymptotic distributions of impulse response functions in short panel vector autoregressions](/preview/png/5096580.png)
This paper establishes the asymptotic distributions of the impulse response functions in panel vector autoregressions with a fixed time dimension. It also proves the asymptotic validity of a bootstrap approximation to their sampling distributions. The autoregressive parameters are estimated using the GMM estimators based on the first differenced equations and the error variance is estimated using an extended analysis-of-variance type estimator. Contrary to the time series setting, we find that the GMM estimator of the autoregressive coefficients is not asymptotically independent of the error variance estimator. The asymptotic dependence calls for variance correction for the orthogonalized impulse response functions. Simulation results show that the variance correction improves the coverage accuracy of both the asymptotic confidence band and the studentized bootstrap confidence band for the orthogonalized impulse response functions.
Journal: Journal of Econometrics - Volume 163, Issue 2, August 2011, Pages 127-143