The uniform validity of impulse response inference in autoregressions
DOI10.1016/J.JECONOM.2019.10.001zbMATH Open1456.62195OpenAlexW2940898546WikidataQ126990759 ScholiaQ126990759MaRDI QIDQ2182136FDOQ2182136
Authors: Atsushi Inoue, Lutz Kilian 
Publication date: 21 May 2020
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.accessecon.com/pubs/VUECON/VUECON-19-00001.pdf
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Nonparametric statistical resampling methods (62G09)
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Cited In (5)
- Asymptotically Valid Bootstrap Inference for Proxy SVARs
- Estimation, Inference, and Empirical Analysis for Time-Varying VAR Models
- INSTRUMENTAL VARIABLE ESTIMATION OF STRUCTURAL VAR MODELS ROBUST TO POSSIBLE NONSTATIONARITY
- Local projections vs. VARs: lessons from thousands of DGPs
- Central limit theory for combined cross section and time series with an application to aggregate productivity shocks
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