Frequency domain inference for univariate impulse responses

DOI10.1016/S0165-1765(99)00043-9MaRDI QIDQ1292332zbMATH OpenOpenAlexWikidataFDO

Authors Jonathan H. Wright

Publication date 21 June 1999

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0165-1765(99)00043-9

zbMATH Keywords

bootstrapimpulse responsesconfidence intervalsspectrum

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Economic time series analysis (91B84)

Recommendations

• Estimation and inference for impulse response functions from univariate strongly persistent processes
• Estimation of impulse response functions using long autoregression
• Bootstrapping impulse responses in VAR analyses
• Problems related to confidence intervals for impulse responses of autoregressive processes
• The uniform validity of impulse response inference in autoregressions

Cites work

• scientific article; zbMATH DE number 3765004 (Why is no real title available?)
• scientific article; zbMATH DE number 1069581 (Why is no real title available?)
• DETERMINING THE BANDWIDTH OF A KERNEL SPECTRUM ESTIMATE
• Error Bands for Impulse Responses
• Estimation of the moving average representation of a stationary nondeterministic process
• On bootstrapping kernel spectral estimates
• On the fitting of multivariate autoregressions, and the approximate canonical factorization of a spectral density matrix
• Parameter uncertainty and impulse response analysis
• The Factorization of Matricial Spectral Densities

Cited in

(7)

• DATA-DRIVEN NONPARAMETRIC SPECTRAL DENSITY ESTIMATORS FOR ECONOMIC TIME SERIES: A MONTE CARLO STUDY
• Spectral estimation of the multivariate impulse response
• Kalman filtering and smoothing for model-based signal extraction that depend on time-varying spectra
• A generalized method of impulse identification
• Estimation and inference for impulse response functions from univariate strongly persistent processes
• Estimating impulse response functions when the shock series is observed
• scientific article; zbMATH DE number 4051479 (Why is no real title available?)

This page was built for publication: Frequency domain inference for univariate impulse responses

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1292332)