Consistency of averaged impulse response estimators in vector autoregressive models
研究了平稳有限阶向量自回归模型中平滑AIC和BIC模型平均估计量对脉冲响应系数的根T一致性，并发现存在由权重缩放因子定义的估计量类，同时证明了估计量分布的自举方法的渐近有效性。
We show root‐T consistency of the smoothed AIC and smoothed BIC model averaging estimators (sAIC, sBIC) of impulse response coefficients in stationary vector autoregressive models of finite lag order. We also show that there is not one unique way to define the sAIC and sBIC estimators, but that instead there is a whole class of each of these defined by a weight scaling factor that allows the averaging estimator to become more similar to either its model selection counterpart or the equal weights averaging estimator. We also show asymptotic validity of a bootstrap method for estimating the averaging estimators' distributions. Simulations illustrate the benefits of using sAIC instead of AIC estimators.