Frequency domain inference for univariate impulse responses

DOI10.1016/S0165-1765(99)00043-9zbMath0923.90039OpenAlexW2090414035WikidataQ127207219 ScholiaQ127207219MaRDI QIDQ1292332

Jonathan H. Wright

Publication date: 21 June 1999

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(99)00043-9

zbMATH Keywords

bootstrapconfidence intervalsspectrumimpulse responses

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Economic time series analysis (91B84)

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Cites Work

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• On bootstrapping kernel spectral estimates
• Parameter uncertainty and impulse response analysis
• DETERMINING THE BANDWIDTH OF A KERNEL SPECTRUM ESTIMATE
• Estimation of the moving average representation of a stationary nondeterministic process
• Error Bands for Impulse Responses
• On the fitting of multivariate autoregressions, and the approximate canonical factorization of a spectral density matrix
• The Factorization of Matricial Spectral Densities

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