Representing uncertainty about response paths: the use of heuristic optimisation methods

DOI10.1016/j.csda.2006.12.023zbMath1452.62128OpenAlexW1985165140MaRDI QIDQ1020793

Anna Staszewska

Publication date: 2 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2006.12.023

zbMATH Keywords

genetic algorithmconfidence bandsbootstrappingimpulse response analysis

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Approximation methods and heuristics in mathematical programming (90C59)

Related Items (4)

Bootstrap prediction bands for forecast paths from vector autoregressive models ⋮ Constructing minimum-width confidence bands ⋮ Skewness-adjusted bootstrap confidence intervals and confidence bands for impulse response functions ⋮ Editorial: 2nd special issue on applications of optimization heuristics to estimation and modelling problems

Uses Software

• Fortran-GA
• bootstrap

Cites Work

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• Impulse response analysis in nonlinear multivariate models
• COMPARISON OF BOOTSTRAP CONFIDENCE INTERVALS FOR IMPULSE RESPONSES OF GERMAN MONETARY SYSTEMS
• Error Bands for Impulse Responses
• Modelling Polish Economy: An Application of SVEqCM
• The bootstrap and Edgeworth expansion

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