Bootstrapping impulse responses in VAR analyses (Q3297928)

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English	Bootstrapping impulse responses in VAR analyses	scientific article

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scholarly article

Bootstrapping impulse responses in VAR analyses (English)

publication date

21 July 2020

full work available at URL

http://edoc.hu-berlin.de/18452/3996

zbMATH Keywords

impulse response

bootstrap

vector autoregression

confidence interval

Helmut Lütkepohl

describes a project that uses

MaRDI profile type

MaRDI publication profile

On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations

Problems related to confidence intervals for impulse responses of autoregressive processes

COMPARISON OF BOOTSTRAP CONFIDENCE INTERVALS FOR IMPULSE RESPONSES OF GERMAN MONETARY SYSTEMS

Nonlinear Dynamic Structures

The bootstrap and Edgeworth expansion

Accounting for Lag Order Uncertainty in Autoregressions: the Endogenous Lag Order Bootstrap Algorithm

Prediction of multivariate time series by autoregressive model fitting

Nonparametric testing of closeness between two unknown distribution functions

Testing for nonzero impulse responses in vector autoregressive processes

Impulse response analysis in infinite order cointegrated vector autoregressive processes

Generalized impulse response analysis in linear multivariate models

Approximation Theorems of Mathematical Statistics

Error Bands for Impulse Responses

Identifiers

zbMATH Open document ID

10.1007/978-3-642-57678-2_10

Mathematics Subject Classification ID

zbMATH DE Number

Sitelinks

Mathematics(1 entry)

mardi Publication:3297928

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