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
Recommendations
- Skewness-adjusted bootstrap confidence intervals and confidence bands for impulse response functions
- Joint confidence sets for structural impulse responses
- Impulse response confidence intervals for persistent data: what have we learned?
- Bootstrapping impulse responses in VAR analyses
- Problems related to confidence intervals for impulse responses of autoregressive processes
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 (7)
- Joint Bayesian inference about impulse responses in VAR models
- Focused information criterion for locally misspecified vector autoregressive models
- Representing uncertainty about response paths: the use of heuristic optimisation methods
- Impulse response confidence intervals for persistent data: what have we learned?
- Error Bands for Impulse Responses
- The uniform validity of impulse response inference in autoregressions
- Assessing and Visualizing Simultaneous Simulation Error
This page was built for publication: Balanced bootstrap joint confidence bands for structural impulse response functions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4684331)
