Balanced Bootstrap Joint Confidence Bands for Structural Impulse Response Functions

DOI10.1111/JTSA.12289zbMATH Open1401.62070OpenAlexW2601477944WikidataQ129828311 ScholiaQ129828311MaRDI QIDQ4684331FDOQ4684331

Author name not available (Why is that?)

Publication date: 28 September 2018

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://www.zora.uzh.ch/id/eprint/161593/1/econwp246.pdf

zbMATH Keywords

bootstrapvector autoregressive processimpulse response functionsjoint confidence bands

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09) Nonparametric tolerance and confidence regions (62G15) Inference from stochastic processes and prediction (62M20)

Cited In (5)

• Joint Bayesian inference about impulse responses in VAR models
• Focused information criterion for locally misspecified vector autoregressive models
• Error Bands for Impulse Responses
• The uniform validity of impulse response inference in autoregressions
• Assessing and Visualizing Simultaneous Simulation Error

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