Bootstrapping impulse responses in VAR analyses

DOI10.1007/978-3-642-57678-2_10zbMath1455.62175OpenAlexW2145758752MaRDI QIDQ3297928

Helmut Lütkepohl

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

zbMATH Keywords

bootstrapconfidence intervalimpulse responsevector autoregression

Mathematics Subject Classification ID

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)

Related Items (1)

Wild bootstrap tests for autocorrelation in vector autoregressive models

Uses Software

• bootstrap

Cites Work

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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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