Impulse response confidence intervals for persistent data: what have we learned?

DOI10.1016/j.jedc.2006.07.006zbMath1163.91520OpenAlexW2116714105MaRDI QIDQ1027372

Elena Pesavento, Barbara Rossi

Publication date: 1 July 2009

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1814/6061

zbMATH Keywords

persistencelocal-to-unity asymptoticsimpulse response functions

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82)

Related Items

INSTRUMENTAL VARIABLE ESTIMATION OF STRUCTURAL VAR MODELS ROBUST TO POSSIBLE NONSTATIONARITY, Bias Correction of Persistence Measures in Fractionally Integrated Models, The uniform validity of impulse response inference in autoregressions, Inference for impulse response coefficients from multivariate fractionally integrated processes

Cites Work

• How accurate are confidence intervals for impulse responses in large VAR models?
• Asymptotic confidence intervals for impulse responses of near‐integrated processes
• A Practitioner's Guide to Lag Order Selection For VAR Impulse Response Analysis
• Confidence intervals for impulse responses under departures from normality
• On the Robustness of Cointegration Methods When Regressors Almost Have Unit Roots
• Are Output Fluctuations Transitory?
• Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models
• Bootstrapping Autoregressive Processes with Possible Unit Roots