Generalized Impulse Response Analysis in a Fractionally Integrated Vector Autoregressive Model
12 Pages Posted: 23 Sep 2011 Last revised: 4 May 2016
Date Written: January 3, 2013
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: Suggested Citation