Inference for impulse response coefficients from multivariaten fractionally integrated processes

摘要

This article considers a multivariate system of fractionally integrated time series and investigates the most appropriate way for estimating Impulse Response (IR) coefficients and their associated confidence intervals. The article extends the univariate analysis recently provided by Baillie and Kapetanios (2013), and uses a semiparametric, time domain estimator, based on a vector autoregression (VAR) approximation. Results are also derived for the orthogonalized estimated IRs which are generally