Problems related to confidence intervals for impulse responses of autoregressive processes

DOI10.1080/07474930008800460MaRDI QIDQ4493474zbMATH OpenOpenAlexFDO

Authors Alexander Benkwitz, Michael H. Neumann, Helmut Lütkepohl

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

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)

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Cited in

(23)

• Balanced bootstrap joint confidence bands for structural impulse response functions
• 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
• Finite-sample simulation-based inference in VAR models with application to Granger causality testing
• ON THE ASYMPTOTIC DISTRIBUTION OF IMPULSE RESPONSE FUNCTIONS WITH LONG-RUN RESTRICTIONS
• 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?
• Representing uncertainty about response paths: the use of heuristic optimisation methods
• The continuity of the limit distribution in the parameter of interest is not essential for the validity of the bootstrap
• Improved interval estimation of long run response from a dynamic linear model: a highest density region approach
• Impulse response confidence intervals for persistent data: what have we learned?
• 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
• Estimation and inference for impulse response functions from univariate strongly persistent processes
• 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

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