Generalized Impulse Response Analysis in a Fractionally Integrated Vector Autoregressive Model

12 Pages Posted: 23 Sep 2011 Last revised: 4 May 2016

See all articles by Hung Xuan Do

Hung Xuan Do

Massey University, Albany campus; University of Technology, Sydney

Robert D. Brooks

Monash University; Financial Research Network (FIRN)

Sirimon Treepongkaruna

The University of Western Australia; Financial Research Network (FIRN)

Date Written: January 3, 2013

Abstract

We develop a generalized impulse response function for the fractionally integrated vector autoregressive (FIVAR) model using the Pesaran and Shin (1998) approach. Our method is different from the methodology shown in Chung (2001) since it does not require us to orthogonalize the error vector and, therefore, is independent of the ordering of the endogenous variables in the FIVAR. Being consistent with the long memory behaviour, we show that generalized and orthogonalized impulse responses of FIVAR evolve slowly at the same hyperbolic rates. However, we also note that they are different in a number of respects.

Keywords: generalized impulse response, fractionally integrated VAR model, long memory

JEL Classification: C13, C32

Suggested Citation

Do, Hung Xuan and Brooks, Robert Darren and Treepongkaruna, Sirimon, Generalized Impulse Response Analysis in a Fractionally Integrated Vector Autoregressive Model (January 3, 2013). Economics Letters, Vol 118, Issue 3, March 2013, 462-465. Available at SSRN: https://ssrn.com/abstract=1932595 or http://dx.doi.org/10.2139/ssrn.1932595

Hung Xuan Do (Contact Author)

Massey University, Albany campus ( email )

Auckland
New Zealand
+64 92136160 (Phone)
+64 92136160 (Fax)

HOME PAGE: http://www.massey.ac.nz/massey/expertise/profile.cfm?stref=972450

University of Technology, Sydney ( email )

PO Box 123
Broadway, 2007
Australia

Robert Darren Brooks

Monash University ( email )

Wellington Road
Clayton, Victoria 3168
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

Sirimon Treepongkaruna

The University of Western Australia ( email )

35 Stirling Highway
Crawley, Western Australia 6009
Australia
+61864887853 (Phone)
+61864881086 (Fax)

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

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