Orthogonal Impulse Response Analysis in Presence of Time-Varying Covariance

Valentin Patilea; Hamdi Raïssi

doi:10.1007/978-981-99-0803-5_18

Orthogonal Impulse Response Analysis in Presence of Time-Varying Covariance

Valentin Patilea, Hamdi Raïssi

INSTITUTE OF STATISTICS

Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

Abstract

In this paper, the orthogonal impulse response functions (OIRFs) are studied in the non-standard but quite common case where the covariance of the error vector is not constant in time. The usual approach for taking such covariance behavior into account consists in applying the standard tools to sub-periods of the whole sample. We underline that such a practice may lead to severe upward bias. We propose a new approach intended to give what we argue to be a more accurate summary of the time-varying OIRFs. This consists in averaging the Cholesky decomposition of nonparametric covariance estimators. In addition, an index is developed to evaluate the heteroscedasticity effect on the OIRFs analysis. The asymptotic behavior of the proposed estimators is investigated.

Original language	English
Title of host publication	Research Papers in Statistical Inference for Time Series and Related Models
Subtitle of host publication	Essays in Honor of Masanobu Taniguchi
Publisher	Springer Nature
Pages	419-443
Number of pages	25
ISBN (Electronic)	9789819908035
ISBN (Print)	9789819908028
DOIs	https://doi.org/10.1007/978-981-99-0803-5_18
State	Published - 1 Jan 2023

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Orthogonal Impulse Response Analysis in Presence of Time-Varying Covariance

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