Estimation and inference for impulse response functions from univariate strongly persistent processes
From MaRDI portal
Recommendations
- Asymptotic confidence intervals for impulse responses of near‐integrated processes
- Impulse response confidence intervals for persistent data: what have we learned?
- Frequency domain inference for univariate impulse responses
- Estimation of impulse response functions using long autoregression
- Problems related to confidence intervals for impulse responses of autoregressive processes
Cited in
(13)- Impulse response confidence intervals for persistent data: what have we learned?
- Frequency domain inference for univariate impulse responses
- Modified information criteria and selection of long memory time series models
- Estimating impulse response functions when the shock series is observed
- On the estimation of short memory components in long memory time series models
- Comparison of bootstrap confidence intervals for impulse responses of German monetary systems
- Asymptotic confidence intervals for impulse responses of near‐integrated processes
- Problems related to confidence intervals for impulse responses of autoregressive processes
- Long memory, realized volatility and heterogeneous autoregressive models
- Peter Schmidt: Econometrician and consummate professional
- Inference for impulse response coefficients from multivariate fractionally integrated processes
- Representation theorems in finite prediction, with applications
- An extended exponential SEMIFAR model with application in R
This page was built for publication: Estimation and inference for impulse response functions from univariate strongly persistent processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5093215)
