How accurate are confidence intervals for impulse responses in large VAR models?
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Publication:1583400
DOI10.1016/S0165-1765(00)00315-3zbMATH Open0954.91042OpenAlexW2130184014MaRDI QIDQ1583400FDOQ1583400
Authors: R. Smith 
Publication date: 26 October 2000
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0165-1765(00)00315-3
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Macroeconomic theory (monetary models, models of taxation) (91B64) Statistical methods; economic indices and measures (91B82)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Error Bands for Impulse Responses
- Recent developments in bootstrapping time series
- Confidence intervals for impulse responses under departures from normality
- Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions
Cited In (8)
- Joint confidence sets for structural impulse responses
- A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators
- Estimation of direct and indirect impact of oil price on growth.
- Impulse response confidence intervals for persistent data: what have we learned?
- Computational algorithms for double bootstrap confidence intervals
- The uniform validity of impulse response inference in autoregressions
- DO TECHNOLOGY SHOCKS DRIVE HOURS UP OR DOWN? A LITTLE EVIDENCE FROM AN AGNOSTIC PROCEDURE
- Confidence Regions for Multipliers in Linear Dynamic Models
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