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

DOI10.1016/J.CSDA.2011.03.003MaRDI QIDQ1658337zbMATH OpenOpenAlexDBLPWikidataFDO

Authors 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

bootstrappingbias-correctionhighest density regionARDL modellong run elasticity

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to economics (62P20) Nonparametric tolerance and confidence regions (62G15)

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Cites work

• scientific article; zbMATH DE number 469135 (Why is no real title available?)
• scientific article; zbMATH DE number 708500 (Why is no real title available?)
• Approximate bias correction in econometrics
• Bias assessment and reduction in linear error-correction models
• Bias reduction in estimating long-run relationships from dynamic heterogeneous panels.
• Confidence intervals for impulse responses under departures from normality
• Half-life estimation based on the bias-corrected bootstrap: a highest density region approach
• The wild bootstrap, tamed at last
• Transformations in Density Estimation
• Why are estimates of agricultural supply response so variable?

Cited in

(2)

• Half-life estimation based on the bias-corrected bootstrap: a highest density region approach
• Smallest covering regions and highest density regions for discrete distributions

Describes a project that uses

Uses Software

• bootstrap
• hdrcde
• R

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