Impulse response confidence intervals for persistent data: what have we learned?

DOI10.1016/J.JEDC.2006.07.006zbMATH Open1163.91520OpenAlexW2116714105MaRDI QIDQ1027372FDOQ1027372

Elena Pesavento, Barbara Rossi

Publication date: 1 July 2009

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1814/6061

Recommendations

• Asymptotic confidence intervals for impulse responses of near‐integrated processes
• Problems related to confidence intervals for impulse responses of autoregressive processes
• Estimation and inference for impulse response functions from univariate strongly persistent processes
• Skewness-adjusted bootstrap confidence intervals and confidence bands for impulse response functions
• Balanced bootstrap joint confidence bands for structural impulse response functions

zbMATH Keywords

persistencelocal-to-unity asymptoticsimpulse response functions

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82)

Cites Work

• Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models
• On the Robustness of Cointegration Methods When Regressors Almost Have Unit Roots
• Bootstrapping Autoregressive Processes with Possible Unit Roots
• How accurate are confidence intervals for impulse responses in large VAR models?
• Confidence intervals for impulse responses under departures from normality
• Are Output Fluctuations Transitory?
• A Practitioner's Guide to Lag Order Selection For VAR Impulse Response Analysis
• Asymptotic confidence intervals for impulse responses of near‐integrated processes

Cited In (8)

• Inference for impulse response coefficients from multivariate fractionally integrated processes
• INSTRUMENTAL VARIABLE ESTIMATION OF STRUCTURAL VAR MODELS ROBUST TO POSSIBLE NONSTATIONARITY
• Representing uncertainty about response paths: the use of heuristic optimisation methods
• Asymptotic confidence intervals for impulse responses of near‐integrated processes
• Error Bands for Impulse Responses
• The uniform validity of impulse response inference in autoregressions
• Bias Correction of Persistence Measures in Fractionally Integrated Models
• Problems related to confidence intervals for impulse responses of autoregressive processes

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