Asymptotic distributions of impulse response functions in short panel vector autoregressions
短面板向量自回归中脉冲响应函数的渐近分布
This paper establishes the asymptotic distributions of the impulse response functions in panel vector autoregressions with a fixed time dimension. It also proves the asymptotic validity of a bootstrap approximation to their sampling distributions. The autoregressive parameters are estimated using the GMM estimators based on the first differenced equations and the error variance is estimated using an extended analysis-of-variance type estimator. Contrary to the time series…