Inference in VARs with conditional heteroskedasticity of unknown form
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Cites work
- scientific article; zbMATH DE number 3765004 (Why is no real title available?)
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- scientific article; zbMATH DE number 854585 (Why is no real title available?)
- scientific article; zbMATH DE number 2199188 (Why is no real title available?)
- A bootstrap-assisted spectral test of white noise under unknown dependence
- A general resampling scheme for triangular arrays of -mixing random variables with application to the problem of spectral density estimation
- Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
- Asymptotic theory for a vector ARMA-GARCH model
- BOOTSTRAPPING STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE MODELS
- Block bootstrap theory for multivariate integrated and cointegrated processes
- Bootstrap methods: another look at the jackknife
- Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
- Cointegration rank testing under conditional heteroskedasticity
- Comparison of bootstrap confidence intervals for impulse responses of German monetary systems
- Confidence intervals for impulse responses under departures from normality
- Estimating structural VARMA models with uncorrelated but non-independent error terms
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors
- On second-order and fourth-order moments of jointly distributed random matrices: A survey
- Problems related to confidence intervals for impulse responses of autoregressive processes
- Resampling methods for dependent data
- Residual-Based Block Bootstrap for Unit Root Testing
- Stationarity and the existence of moments of a family of GARCH processes.
- Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes
- Structural vector autoregressions with Markov switching: combining conventional with statistical identification of shocks
- The bootstrap and Edgeworth expansion
- The jackknife and the bootstrap for general stationary observations
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Cited in
(30)- US-China tensions, global supply chains pressure, and global economy
- Bootstrapping impulse responses in VAR analyses
- Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH
- Bootstrap Inference for Linear Time-Varying Coefficient Models in Locally Stationary Time Series
- Heteroskedastic proxy vector autoregressions: an identification-robust test for time-varying impulse responses in the presence of multiple proxies
- GMM Estimation of Non-Gaussian Structural Vector Autoregression
- Asymptotically Valid Bootstrap Inference for Proxy SVARs
- Heteroscedastic Proxy Vector Autoregressions
- Small sample adjustment for hypotheses testing on cointegrating vectors
- Testing for Granger causality in large mixed-frequency VARs
- Modelling interaction patterns in a predator-prey system of two freshwater organisms in discrete time: an identified structural VAR approach
- Bootstrap Inference in Cointegrating Regressions: Traditional and Self-Normalized Test Statistics
- Local projections, autocorrelation, and efficiency
- Inference in dynamic models containing 'surprise' variables
- Modelling uncertainty: a recursive VAR bootstrapping approach
- An identification and testing strategy for proxy-SVARs with weak proxies
- Wild bootstrap tests for autocorrelation in vector autoregressive models
- Structural vector autoregressions with smooth transition in variances
- Inference for VARs identified with sign restrictions
- Asymptotics for time-varying vector \(\mathrm{MA}(\infty\)) PROCESSES
- Discovering the Network Granger Causality in Large Vector Autoregressive Models
- The uniform validity of impulse response inference in autoregressions
- Structural periodic vector autoregressions
- Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
- Structural inference in sparse high-dimensional vector autoregressions
- Point estimation in sign-restricted SVARs based on independence criteria with an application to rational bubbles
- Rejoinder
- Bregman model averaging for forecast combination
- Monetary policy announcements, information shocks, and exchange rate dynamics
- Statistical Identification of Independent Shocks with Kernel-based Maximum Likelihood Estimation and an Application to the Global Crude Oil Market
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