Confidence Regions for Multipliers in Linear Dynamic Models

DOI10.2307/1911316zbMath0605.62138OpenAlexW2062206220MaRDI QIDQ3742591

Lewis Evans, Graeme Wells

Publication date: 1986

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1911316

zbMATH Keywords

asymptotic distributionmultipliersshocksconfidence regionssampling variabilityestimated shockslinear dynamic simultaneous equation modelssimulation of vector autoregressive (VAR) models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric tolerance and confidence regions (62F25) Economic growth models (91B62)

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