Reducing confidence bands for simulated impulse responses

DOI10.1007/s00362-013-0510-5zbMath1416.62508OpenAlexW2139674462MaRDI QIDQ379920

Helmut Lütkepohl

Publication date: 11 November 2013

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: http://www.diw.de/documents/publikationen/73/diw_01.c.407105.de/dp1235.pdf

zbMATH Keywords

bootstrapBayesian estimationvector autoregressive processimpulse responses

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (3)

Wild bootstrap tests for autocorrelation in vector autoregressive models ⋮ On the maximal deviation of kernel regression estimators with NMAR response variables ⋮ Improved bootstrap prediction intervals for SETAR models

Uses Software

• JMulTi

Cites Work

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• COMPARISON OF BOOTSTRAP CONFIDENCE INTERVALS FOR IMPULSE RESPONSES OF GERMAN MONETARY SYSTEMS
• Testing for Structural Change in Dynamic Models
• The Cusum Test with Ols Residuals
• Measuring The Reaction of Monetary Policy to the Stock Market
• Applied Time Series Econometrics

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