Asymptotic Distributions of Impulse Response Functions and Forecast Error Variance Decompositions of Vector Autoregressive Models
整理了向量自回归模型中脉冲响应函数和预测误差方差分解的渐近分布理论，填补了缺失环节，便于计算标准误和检验统计量，对使用VAR模型的经济研究者有用。
In recent years, vector autoregressive models have become standard tools for economic analyses. Impulse response functions and forecast error variance decompositions are usually computed from these models in order to investigate the interrelationships within the system. However, sometimes no measures of estimation uncertainty are provided by authors. One reason may be that the relevant asymptotic distribution theory is distributed over various publications. In this article, the available results are summarized and the missing links are provided in order to facilitate the computation of standard errors and test statistics. Copyright 1990 by MIT Press.