Generalized impulse response analysis in a fractionally integrated vector autoregressive model

Xuan Hung Do, Robert Darren Brooks, Sirimon Treepongkaruna

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We develop a generalized impulse response function for the fractionally integrated vector autoregressive (FIVAR) model using the Pesaran and Shin (1998) approach. Our method is different from the methodology shown in Chung (2001) since it does not require us to orthogonalize the error vector and, therefore, is independent of the ordering of the endogenous variables in the FIVAR. Being consistent with the long memory behaviour, we show that generalized and orthogonalized impulse responses of FIVAR evolve slowly at the same hyperbolic rates. However, we also note that they are different in a number of respects.
Original languageEnglish
Pages (from-to)462 - 465
Number of pages4
JournalEconomics Letters
Issue number3
Publication statusPublished - 2013

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