Bootstrapping impulse responses in VAR analyses
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Publication:3297928
DOI10.1007/978-3-642-57678-2_10zbMath1455.62175OpenAlexW2145758752MaRDI QIDQ3297928
Publication date: 21 July 2020
Published in: COMPSTAT (Search for Journal in Brave)
Full work available at URL: http://edoc.hu-berlin.de/18452/3996
Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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- Prediction of multivariate time series by autoregressive model fitting
- Generalized impulse response analysis in linear multivariate models
- Impulse response analysis in infinite order cointegrated vector autoregressive processes
- Testing for nonzero impulse responses in vector autoregressive processes
- COMPARISON OF BOOTSTRAP CONFIDENCE INTERVALS FOR IMPULSE RESPONSES OF GERMAN MONETARY SYSTEMS
- Nonlinear Dynamic Structures
- On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
- Approximation Theorems of Mathematical Statistics
- Accounting for Lag Order Uncertainty in Autoregressions: the Endogenous Lag Order Bootstrap Algorithm
- Nonparametric testing of closeness between two unknown distribution functions
- Problems related to confidence intervals for impulse responses of autoregressive processes
- Error Bands for Impulse Responses
- The bootstrap and Edgeworth expansion
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