Problems related to confidence intervals for impulse responses of autoregressive processes

DOI10.1080/07474930008800460zbMATH Open0962.62080OpenAlexW1972091967MaRDI QIDQ4493474FDOQ4493474

Alexander Benkwitz, Helmut Lütkepohl, Michael H. Neumann

Publication date: 19 June 2001

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474930008800460

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zbMATH Keywords

impulse responsessimulationsautoregressive processesasymptotic inference

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09) Nonparametric tolerance and confidence regions (62G15)

Cited In (18)

• Bootstrapping impulse responses in VAR analyses
• Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and nonstandard asymptotics
• Focused information criterion for locally misspecified vector autoregressive models
• INSTRUMENTAL VARIABLE ESTIMATION OF STRUCTURAL VAR MODELS ROBUST TO POSSIBLE NONSTATIONARITY
• ON THE ASYMPTOTIC DISTRIBUTION OF IMPULSE RESPONSE FUNCTIONS WITH LONG-RUN RESTRICTIONS
• Finite-sample simulation-based inference in VAR models with application to Granger causality testing
• Skewness-adjusted bootstrap confidence intervals and confidence bands for impulse response functions
• Structural vector autoregressive analysis for cointegrated variables
• Consistency of averaged impulse response estimators in vector autoregressive models
• Comparison of bootstrap confidence intervals for impulse responses of German monetary systems
• How accurate are confidence intervals for impulse responses in large VAR models?
• Asymptotic confidence intervals for impulse responses of near‐integrated processes
• The uniform validity of impulse response inference in autoregressions
• Inference in VARs with conditional heteroskedasticity of unknown form
• Delta-method inference for a class of set-identified SVARs
• Confidence Regions for Multipliers in Linear Dynamic Models
• The transfer problem in the euro area
• THE CONTINUITY OF THE LIMIT DISTRIBUTION IN THE PARAMETER OF INTEREST IS NOT ESSENTIAL FOR THE VALIDITY OF THE BOOTSTRAP

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