The Impulse Response Analysis of General Inference on Cointegration Vector for Non-Stationary Process by Local Projection

• Main Authors: Meng-wei Lin, 林孟緯
• Other Authors: Ching-nun Lee
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/35300295618443751264

碩士 === 國立中山大學 === 經濟學研究所 === 98 === Jorda (2005) proposed the new method to estimate impulse response functions by local projection. The new method, local projection, can avoid the misspecification problem. That is, local projections are robust to misspecification of the data generating process (DGP). Wu, Lee, and Wang (2008) extended the Jorda’s local projection from stationary time series I(0) to non-stationary time series I(1). It makes the local projection be a more generally applicative method for the Macroeconomic. In the article, I relax the cointegration vector which assumed to be known in the Wu, Lee, and Wang (2008) and Lee(2010). From the inference of Johansen (1995) I can get the property of super-consistent between β and ˆ β in the cointegration vector. I use the above condition and OLS to estimate impulse response functions, and in the asymptotic theorem, the cointegration vectors which assumed to be known or estimated by Johansen MLE are both get the consistent coefficients of impulse responses.