Joint confidence sets for structural impulse responses
From MaRDI portal
Publication:281051
DOI10.1016/J.JECONOM.2016.02.008zbMath1420.62388OpenAlexW3121234738MaRDI QIDQ281051
Publication date: 10 May 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://www.cesifo.org/DocDL/cesifo1_wp5746.pdf
bootstrapdegenerate limiting distributionconfidence bandsimpulse response shapesjoint inferenceshotgun plots
Related Items (8)
INSTRUMENTAL VARIABLE ESTIMATION OF STRUCTURAL VAR MODELS ROBUST TO POSSIBLE NONSTATIONARITY ⋮ Estimating impulse-response functions for macroeconomic models using directional quantiles ⋮ Impulse response matching estimators for DSGE models ⋮ Skewness-adjusted bootstrap confidence intervals and confidence bands for impulse response functions ⋮ The uniform validity of impulse response inference in autoregressions ⋮ (Machine) learning parameter regions ⋮ Narrative Restrictions and Proxies: Rejoinder ⋮ Joint Bayesian inference about impulse responses in VAR models
Cites Work
- Impulse response matching estimators for DSGE models
- The second-order bias and mean squared error of estimators in time-series models
- Efficient minimum distance estimation with multiple rates of convergence
- Modified Wald tests under nonregular conditions
- How accurate are confidence intervals for impulse responses in large VAR models?
- Testing for nonzero impulse responses in vector autoregressive processes
- Inference on impulse response functions in structural VAR models
- THE APPROXIMATE MOMENTS OF THE LEAST SQUARES ESTIMATOR FOR THE STATIONARY AUTOREGRESSIVE MODEL UNDER A GENERAL ERROR DISTRIBUTION
- Inference in Linear Time Series Models with some Unit Roots
- Recent developments in bootstrapping time series
- Error Bands for Impulse Responses
- The bootstrap and Edgeworth expansion
This page was built for publication: Joint confidence sets for structural impulse responses
