國立虎尾科技大學 |

Essays on Impulse Response Inference in Vector Autoregressive Models.

Record Type:	Language materials, manuscript : Monograph/item
Title/Author:	Essays on Impulse Response Inference in Vector Autoregressive Models./
Author:	Luo, Zizheng.
Description:	1 online resource (87 pages)
Notes:	Source: Dissertations Abstracts International, Volume: 85-03, Section: B.
Contained By:	Dissertations Abstracts International85-03B.
Subject:	Mathematics. -
Online resource:	click for full text (PQDT)
ISBN:	9798380168540

Essays on Impulse Response Inference in Vector Autoregressive Models.
Luo, Zizheng.

Essays on Impulse Response Inference in Vector Autoregressive Models. - 1 online resource (87 pages)

Source: Dissertations Abstracts International, Volume: 85-03, Section: B.

Thesis (Ph.D.)--Vanderbilt University, 2023.

Includes bibliographical references

Structural vector autoregressive models are one of the most widely applied tools in empirical macroeconomic research, and impulse responses are often employed in these models to evaluate the effect of economic shocks on variables. This dissertation provides identification, estimation, and inference results for impulse responses in several different class of structural vector autoregressive models. Chapter 1 proposes a method to construct uniformly valid confidence intervals for impulse responses in a large class of vector autoregressive models, via a uniformly valid Wald test. Our method not only allows for uniform inference on the impulse responses, but also for any function of the VAR parameters. We also provide a simulation study that not only examines the finite sample accuracy of our method, but also provides a comparison of the respective accuracy of the VAR and LP methods of constructing impulse responses. Chapter 2 demonstrates that in structural FAVAR models, the structural impulse responses can be identified by independence and non-Gaussianity assumptions on structural shocks. We propose a two-step estimator to estimate the VAR parameters and derive the relevant asymptotic properties of the estimator. We also conduct a simulation study and revisit the empirical analysis in Bernanke et al. (2005) to demonstrate the application of our method. Our method suggests a stronger and more persistent effect of monetary policy on output.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2024

Mode of access: World Wide Web

ISBN: 9798380168540Subjects--Topical Terms:

527692
Mathematics.
Subjects--Index Terms:

Impulse responseIndex Terms--Genre/Form:

554714
Electronic books.

Essays on Impulse Response Inference in Vector Autoregressive Models.
LDR:02866ntm a22004097 4500 001 1150117
005 20241022111550.5
006 m o d
007 cr bn ---uuuuu
008 250605s2023 xx obm 000 0 eng d
020 $a 9798380168540
035 $a (MiAaPQ)AAI30722237
035 $a (MiAaPQ)0242vireo1836Luo
035 $a AAI30722237
040 $a MiAaPQ $b eng $c MiAaPQ $d NTU
100 1 $a Luo, Zizheng. $3 1476544
245 1 0 $a Essays on Impulse Response Inference in Vector Autoregressive Models.
264 0 $c 2023
300 $a 1 online resource (87 pages)
336 $a text $b txt $2 rdacontent
337 $a computer $b c $2 rdamedia
338 $a online resource $b cr $2 rdacarrier
500 $a Source: Dissertations Abstracts International, Volume: 85-03, Section: B.
500 $a Advisor: Inoue, Atsushi.
502 $a Thesis (Ph.D.)--Vanderbilt University, 2023.
504 $a Includes bibliographical references
520 $a Structural vector autoregressive models are one of the most widely applied tools in empirical macroeconomic research, and impulse responses are often employed in these models to evaluate the effect of economic shocks on variables. This dissertation provides identification, estimation, and inference results for impulse responses in several different class of structural vector autoregressive models. Chapter 1 proposes a method to construct uniformly valid confidence intervals for impulse responses in a large class of vector autoregressive models, via a uniformly valid Wald test. Our method not only allows for uniform inference on the impulse responses, but also for any function of the VAR parameters. We also provide a simulation study that not only examines the finite sample accuracy of our method, but also provides a comparison of the respective accuracy of the VAR and LP methods of constructing impulse responses. Chapter 2 demonstrates that in structural FAVAR models, the structural impulse responses can be identified by independence and non-Gaussianity assumptions on structural shocks. We propose a two-step estimator to estimate the VAR parameters and derive the relevant asymptotic properties of the estimator. We also conduct a simulation study and revisit the empirical analysis in Bernanke et al. (2005) to demonstrate the application of our method. Our method suggests a stronger and more persistent effect of monetary policy on output.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2024
538 $a Mode of access: World Wide Web
650 4 $a Mathematics. $3 527692
650 4 $a Applied mathematics. $3 1069907
653 $a Impulse response
653 $a Vector autoregression
653 $a Econometrics
653 $a Macroeconomic research
653 $a Inference
655 7 $a Electronic books. $2 local $3 554714
690 $a 0501
690 $a 0405
690 $a 0364
710 2 $a ProQuest Information and Learning Co. $3 1178819
710 2 $a Vanderbilt University. $3 1178871
773 0 $t Dissertations Abstracts International $g 85-03B.
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=30722237 $z click for full text (PQDT)