Problems related to confidence intervals for impulse responses of autoregressive processes
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- 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
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