Improved interval estimation of long run response from a dynamic linear model: a highest density region approach

DOI10.1016/j.csda.2011.03.003zbMath1464.62102DBLPjournals/csda/KimFH11OpenAlexW2086664607WikidataQ58297376 ScholiaQ58297376MaRDI QIDQ1658337

Y. Aharonov

Publication date: 14 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2011.03.003

zbMATH Keywords

bootstrappingbias-correctionhighest density regionARDL modellong run elasticity

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Nonparametric tolerance and confidence regions (62G15)

Related Items (1)

Smallest covering regions and highest density regions for discrete distributions

Uses Software

• R
• hdrcde
• bootstrap

Cites Work

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• The wild bootstrap, tamed at last
• Half-life estimation based on the bias-corrected bootstrap: a highest density region approach
• Approximate bias correction in econometrics
• Bias assessment and reduction in linear error-correction models
• Why are estimates of agricultural supply response so variable?
• Transformations in Density Estimation
• Confidence intervals for impulse responses under departures from normality

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