On the relationship between Jorda?s IRF local projection and Dufour et al.?s robust (p,h)-autoregression multihorizon causality: a note
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More about this item
Keywords
Multihorizon causality; (p; h)-autoregression; Local projection IRF and GIRF; Conservative Monte Carlo test; VAR estimatio;All these keywords.
JEL classification:
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2023-06-26 (Econometrics)
- NEP-ETS-2023-06-26 (Econometric Time Series)
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