Asymptotic confidence intervals for impulse responses of near‐integrated processes

DOI10.1111/j.1368-423X.2004.00141.xzbMath1114.91350OpenAlexW2124861689MaRDI QIDQ3023035

Nikolay Gospodinov

Publication date: 4 July 2005

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2004.00141.x

zbMATH Keywords

likelihood ratio testlocal-to-unity asymptoticsnon-linear restrictions

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items (5)

INSTRUMENTAL VARIABLE ESTIMATION OF STRUCTURAL VAR MODELS ROBUST TO POSSIBLE NONSTATIONARITY ⋮ The uniform validity of impulse response inference in autoregressions ⋮ Latent local-to-unity models ⋮ Half-life estimation based on the bias-corrected bootstrap: a highest density region approach ⋮ Impulse response confidence intervals for persistent data: what have we learned?

Cites Work

• Distribution theory for unit root tests with conditional heteroskedasticity
• Impulse response and forecast error variance asymptotics in nonstationary VARs
• ESTIMATION OF AUTOREGRESSIVE ROOTS NEAR UNITY USING PANEL DATA
• Threshold Autoregression with a Unit Root
• The bootstrap and Edgeworth expansion

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