论文标题
在存在时间变化的协方差的情况下，正交脉冲响应分析
Orthogonal Impulse Response Analysis in Presence of Time-Varying Covariance
论文作者
论文摘要
在本文中，在非标准中研究了正交脉冲响应函数（OIRF），尽管很常见，但误差向量的协方差并不恒定。考虑到协方差的这种行为的通常方法在于将标准工具应用于整个样本的子周期。我们强调了这种做法可能导致严重的向上偏见。我们提出了一种新的方法，旨在使我们认为是随着时间变化的OIRF的更准确的简历。这包括平均非参数协方差估计器的cholesky分解。另外，开发了索引来评估OIRF分析的异方差效应。研究了本文中考虑的不同估计量的渐近行为。理论结果通过蒙特卡洛实验说明。美国通货膨胀对石油价格冲击的正交响应功能的分析表明，本文提出的工具对经济变量进行了适当的分析的相关性。
In this paper the orthogonal impulse response functions (OIRF) are studied in the non-standard, though quite common, case where the covariance of the error vector is not constant in time. The usual approach for taking into account such behavior of the covariance consists in applying the standard tools to sub-periods of the whole sample. We underline that such a practice may lead to severe upward bias. We propose a new approach intended to give what we argue to be a more accurate resume of the time-varying OIRF. This consists in averaging the Cholesky decomposition of nonparametric covariance estimators. In addition an index is developed to evaluate the heteroscedasticity effect on the OIRF analysis. The asymptotic behavior of the different estimators considered in the paper is investigated. The theoretical results are illustrated by Monte Carlo experiments. The analysis of the orthogonal response functions of the U.S. inflation to an oil price shock, shows the relevance of the tools proposed herein for an appropriate analysis of economic variables.
