Estimating impulse-response functions for macroeconomic models using directional quantiles

DOI10.1515/jtse-2021-0002OpenAlexW4200295357MaRDI QIDQ2151747

Gabriel V. Montes-Rojas

Publication date: 5 July 2022

Published in: Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/jtse-2021-0002

zbMATH Keywords

pass-throughmultivariate quantilesvector autoregressive modelsimpulse-response functions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Uses Software

• CAViaR
• quantilogram

Cites Work

• Efficient Semiparametric Estimation of Quantile Treatment Effects
• Quantile regression methods for recursive structural equation models
• Joint confidence sets for structural impulse responses
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• Computing multiple-output regression quantile regions
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• On directional multiple-output quantile regression
• Specification tests of parametric dynamic conditional quantiles
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• Asymptotics for argmin processes: convexity arguments
• Central limit theorems for empirical and \(U\)-processes of stationary mixing sequences
• Conditional quantiles and tail dependence
• Reduced form vector directional quantiles
• Multivariate quantiles and multiple-output regression quantiles: from \(L_{1}\) optimization to halfspace depth
• Inference on impulse response functions in structural VAR models
• An Approach to Multivariate Covariate-Dependent Quantile Contours With Application to Bivariate Conditional Growth Charts
• Regression Quantiles
• Multivariate Quantile Impulse Response Functions
• Uniformly Semiparametric Efficient Estimation of Treatment Effects With a Continuous Treatment
• An IV Model of Quantile Treatment Effects
• Quantile Autoregression

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