Confidence Regions for Multipliers in Linear Dynamic Models

DOI10.2307/1911316MaRDI QIDQ3742591zbMATH OpenOpenAlexFDO

Authors Lewis Evans, Graeme Wells

Publication date 1986

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1911316

zbMATH Keywords

asymptotic distributionconfidence regionsestimated shockslinear dynamic simultaneous equation modelsmultiplierssampling variabilityshockssimulation of vector autoregressive (VAR) models

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic growth models (91B62)

Recommendations

• Multivariate Autoregressive Techniques for Constructing Confidence Regions on the Mean Vector
• Problems related to confidence intervals for impulse responses of autoregressive processes
• Reducing confidence bands for simulated impulse responses
• How accurate are confidence intervals for impulse responses in large VAR models?
• Asymptotic Distributions of Impulse Responses, Step Responses, and Variance Decompositions of Estimated Linear Dynamic Models

Cited in

(3)

• Confidence regions for level differences in growth curve models
• scientific article; zbMATH DE number 63493 (Why is no real title available?)
• Multivariate Autoregressive Techniques for Constructing Confidence Regions on the Mean Vector

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