How accurate are confidence intervals for impulse responses in large VAR models?
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Cites work
- scientific article; zbMATH DE number 708500 (Why is no real title available?)
- scientific article; zbMATH DE number 1104922 (Why is no real title available?)
- Confidence intervals for impulse responses under departures from normality
- Error Bands for Impulse Responses
- Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions
- Recent developments in bootstrapping time series
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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