Joint confidence sets for structural impulse responses
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Recommendations
- Balanced bootstrap joint confidence bands for structural impulse response functions
- Inference on impulse response functions in structural VAR models
- Confidence intervals for impulse responses under departures from normality
- Comparison of bootstrap confidence intervals for impulse responses of German monetary systems
- Reducing confidence bands for simulated impulse responses
Cites work
- Efficient minimum distance estimation with multiple rates of convergence
- Error Bands for Impulse Responses
- How accurate are confidence intervals for impulse responses in large VAR models?
- Impulse response matching estimators for DSGE models
- Inference in Linear Time Series Models with some Unit Roots
- Inference on impulse response functions in structural VAR models
- Modified Wald tests under nonregular conditions
- Recent developments in bootstrapping time series
- Testing for nonzero impulse responses in vector autoregressive processes
- The approximate moments of the least squares estimator for the stationary autoregressive model under a general error distribution
- The bootstrap and Edgeworth expansion
- The second-order bias and mean squared error of estimators in time-series models
Cited in
(13)- Balanced bootstrap joint confidence bands for structural impulse response functions
- Joint Bayesian inference about impulse responses in VAR models
- Uniform priors for impulse responses
- Impulse response matching estimators for DSGE models
- INSTRUMENTAL VARIABLE ESTIMATION OF STRUCTURAL VAR MODELS ROBUST TO POSSIBLE NONSTATIONARITY
- Skewness-adjusted bootstrap confidence intervals and confidence bands for impulse response functions
- (Machine) learning parameter regions
- How accurate are confidence intervals for impulse responses in large VAR models?
- Estimating impulse-response functions for macroeconomic models using directional quantiles
- Narrative Restrictions and Proxies: Rejoinder
- The uniform validity of impulse response inference in autoregressions
- A Gaussian smooth transition vector autoregressive model: an application to the macroeconomic effects of severe weather shocks
- Statistical Identification of Independent Shocks with Kernel-based Maximum Likelihood Estimation and an Application to the Global Crude Oil Market
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