Improved interval estimation of long run response from a dynamic linear model: a highest density region approach

DOI10.1016/j.csda.2011.03.003zbMath1464.62102WikidataQ58297376 ScholiaQ58297376MaRDI QIDQ1658337

Y. Aharonov

Publication date: 14 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2011.03.003

zbMATH Keywords

bootstrapping; bias-correction; highest density region; ARDL model; long run elasticity

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62-08: Computational methods for problems pertaining to statistics

62G15: Nonparametric tolerance and confidence regions

Uses Software

• R
• hdrcde
• bootstrap