Estimating Orthogonal Impulse Responses via Vector Autoregressive Models
推导了在有限阶VAR模型拟合可能无限阶过程时，正交化脉冲响应的渐近分布，并给出了预测误差方差分解的渐近分布，对经济变量关系分析有用。
Impulse response functions from time series models are standard tools for analyzing the relationship between economic variables. The asymptotic distribution of orthogonalized impulse responses is derived under the assumption that finite order vector autoregressive (VAR) models are fitted to time series generated by possibly infinite order processes. The resulting asymptotic distributions of forecast error variance decompositions are also given.