Error Bands for Impulse Responses
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Publication:4530956
DOI10.1111/1468-0262.00071zbMATH Open1056.62533OpenAlexW2122709922MaRDI QIDQ4530956FDOQ4530956
Publication date: 28 May 2002
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10419/100857
Recommendations
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
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- Structural shocks and the comovements between output and interest rates
- The estimation uncertainty of permanent-transitory decompositions in co-integrated systems
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- Uncovering Characteristic Response Paths of a Population
- Monetary policy and stock valuation: structural VAR identification and size effects
- Confronting model misspecification in macroeconomics
- Skewness-adjusted bootstrap confidence intervals and confidence bands for impulse response functions
- Model specification and selection for multivariate time series
- Impulse response and forecast error variance asymptotics in nonstationary VARs
- Noninformative priors and frequentist risks of Bayesian estimators of vector-autoregressive models
- Frequency domain inference for univariate impulse responses
- THE SEQUENTIAL ESTIMATION OF SUBSET VAR WITH FORGETTING FACTOR AND INTERCEPT VARIABLE
- Bayes factors and nonlinearity: Evidence from economic time series
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- Bayesian fan charts for U.K. Inflation: Forecasting and sources of uncertainty in an evolving monetary system
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- How accurate are confidence intervals for impulse responses in large VAR models?
- DOES MONETARY POLICY GENERATE RECESSIONS?
- Representing uncertainty about response paths: the use of heuristic optimisation methods
- Impulse response analysis in infinite order cointegrated vector autoregressive processes
- Bootstrapping Laplace transforms of volatility
- Modeling US housing prices by spatial dynamic structural equation models
- Inference on impulse response functions in structural VAR models
- Normalization in Econometrics
- A Gibbs sampler for structural vector autoregressions
- Unconventional monetary policy in a small open economy
- Advances in using vector autoregressions to estimate structural magnitudes
- Predictive ability with cointegrated variables
- Bias in local projections
- Block recursion and structural vector autoregressions
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