Frequency domain inference for univariate impulse responses

DOI10.1016/S0165-1765(99)00043-9zbMATH Open0923.90039OpenAlexW2090414035WikidataQ127207219 ScholiaQ127207219MaRDI QIDQ1292332FDOQ1292332

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

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zbMATH Keywords

bootstrapimpulse responsesconfidence intervalsspectrum

Mathematics Subject Classification ID

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

Cites Work

• Error Bands for Impulse Responses
• On the fitting of multivariate autoregressions, and the approximate canonical factorization of a spectral density matrix
• On bootstrapping kernel spectral estimates
• Title not available (Why is that?)
• DETERMINING THE BANDWIDTH OF A KERNEL SPECTRUM ESTIMATE
• The Factorization of Matricial Spectral Densities
• Title not available (Why is that?)
• Parameter uncertainty and impulse response analysis
• Estimation of the moving average representation of a stationary nondeterministic process

Cited In (7)

• Title not available (Why is that?)
• DATA-DRIVEN NONPARAMETRIC SPECTRAL DENSITY ESTIMATORS FOR ECONOMIC TIME SERIES: A MONTE CARLO STUDY
• Estimating impulse response functions when the shock series is observed
• Kalman filtering and smoothing for model-based signal extraction that depend on time-varying spectra
• Estimation and inference for impulse response functions from univariate strongly persistent processes
• Spectral estimation of the multivariate impulse response
• A generalized method of impulse identification

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