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