The uniform validity of impulse response inference in autoregressions
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Cites work
- Asymptotic confidence intervals for impulse responses of near‐integrated processes
- BIASES OF ESTIMATORS IN MULTIVARIATE NON-GAUSSIAN AUTOREGRESSIONS
- Balanced bootstrap joint confidence bands for structural impulse response functions
- Bootstrap methods: another look at the jackknife
- Bootstrapping Autoregressive Processes with Possible Unit Roots
- Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
- Confidence intervals for impulse responses under departures from normality
- Delta-method inference for a class of set-identified SVARs
- How accurate are confidence intervals for impulse responses in large VAR models?
- Hybrid and Size-Corrected Subsampling Methods
- Impulse response and forecast error variance asymptotics in nonstationary VARs
- Impulse response confidence intervals for persistent data: what have we learned?
- Impulse response matching estimators for DSGE models
- Inference for VARs identified with sign restrictions
- Inference in Linear Time Series Models with some Unit Roots
- Joint confidence sets for structural impulse responses
- Making wald tests work for cointegrated VAR systems
- Modified lag augmented vector autoregressions
- On Confidence Intervals for Autoregressive Roots and Predictive Regression
- On standard inference for GMM with local identification failure of known forms
- On the Robustness of Cointegration Methods When Regressors Almost Have Unit Roots
- One-dimensional inference in autoregressive models with the potential presence of a unit root
- Persistence-robust surplus-lag Granger causality testing
- Problems related to confidence intervals for impulse responses of autoregressive processes
- Robust econometric inference with mixed integrated and mildly explosive regressors
- Statistical inference in vector autoregressions with possibly integrated processes
- Structural vector autoregressive analysis
- Testing for a unit root in the presence of moving average errors
- The Student's t Approximation in a Stationary First Order Autoregressive Model
- The bootstrap and Edgeworth expansion
- The continuity of the limit distribution in the parameter of interest is not essential for the validity of the bootstrap
- Towards a unified asymptotic theory for autoregression
- Uniform Inference in Autoregressive Models
- Uniform Limit Theory for Stationary Autoregression
- Uniformity and the delta method
- Unit Roots, Cointegration, and Pretesting in Var Models
Cited in
(9)- Bootstrapping impulse responses in VAR analyses
- 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
- Inference in VARs with conditional heteroskedasticity of unknown form
- Local projections vs. VARs: lessons from thousands of DGPs
- One-dimensional inference in autoregressive models with the potential presence of a unit root
- Central limit theory for combined cross section and time series with an application to aggregate productivity shocks
- Local projection inference is simpler and more robust than you think
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