Inference for impulse response coefficients from multivariate fractionally integrated processes (Q5864455): Difference between revisions

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+Inference in dynamic models containing 'surprise' variables
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+Estimation and inference for impulse response functions from univariate strongly persistent processes
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+Q3426058
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+SAMPLE MEANS, SAMPLE AUTOCOVARIANCES, AND LINEAR REGRESSION  OF STATIONARY MULTIVARIATE LONG MEMORY PROCESSES
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+Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
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+Long memory relationships and the aggregation of dynamic models
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+AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
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+Fractional differencing
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+Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
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+A limit theory for long-range dependence and statistical inference on related models
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+Explicit representation of finite predictor coefficients and its applications
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+Bootstrapping Autoregressive Processes with Possible Unit Roots
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+Inference on impulse response functions in structural VAR models
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+Making a match: combining theory and evidence in policy-oriented macroeconomic modeling
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+A note on the asymptotic distribution of impulse response functions of estimated VAR models with orthogonal residuals
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+Bootstrapping autoregressive and moving average parameter estimates of infinite order vector autoregressive processes
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+Impulse response confidence intervals for persistent data: what have we learned?
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+Autoregressive approximation in nonstandard situations: the fractionally integrated and non-invertible cases
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+The Asymptotic Distribution of Dynamic Multipliers
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+Some Small Sample Evidence on the Distribution of Dynamic Simulation Forecasts
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+IDENTIFYING MULTIVARIATE TIME SERIES MODELS
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