Confidence intervals for impulse responses under departures from normality

DOI10.1080/07474939808800401zbMath0893.62040OpenAlexW1966421218MaRDI QIDQ4384998

Lutz Kilian

Publication date: 13 April 1998

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474939808800401

zbMATH Keywords

bootstrapdelayed overshooting puzzleimpulse response intervalsstructural VAR models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric tolerance and confidence regions (62G15) Nonparametric statistical resampling methods (62G09)

Related Items (16)

Short run and long run causality in time series: inference ⋮ Finite-sample simulation-based inference in VAR models with application to Granger causality testing ⋮ Bias-correction and endogenous lag order algorithm for bootstrap prediction intervals. Discussion on: ``Bootstrap prediction intervals for linear, nonlinear and nonparametric autoregressions ⋮ Improved interval estimation of long run response from a dynamic linear model: a highest density region approach ⋮ The uniform validity of impulse response inference in autoregressions ⋮ Wild bootstrap tests for autocorrelation in vector autoregressive models ⋮ Bootstrap-based bias corrections for INAR count time series ⋮ Inference in VARs with conditional heteroskedasticity of unknown form ⋮ Identification of structural vector autoregressions through higher unconditional moments ⋮ Prediction Intervals for Time Series: A Modified Sieve Bootstrap Approach ⋮ Bias-corrected bootstrap prediction intervals for autoregressive model: new alternatives with applications to tourism forecasting ⋮ Linear bootstrap methods for vector autoregressive moving-average models ⋮ Impulse response confidence intervals for persistent data: what have we learned? ⋮ How accurate are confidence intervals for impulse responses in large VAR models? ⋮ Estimating the mean and its effects on Neyman smooth tests of normality for ARMA models ⋮ Recent developments in bootstrapping time series

Cites Work

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• Bayesian skepticism on unit root econometrics
• Edgeworth correction by bootstrap in autoregressions
• Inference in Linear Time Series Models with some Unit Roots
• BIASES OF ESTIMATORS IN MULTIVARIATE NON-GAUSSIAN AUTOREGRESSIONS
• Accounting for Lag Order Uncertainty in Autoregressions: the Endogenous Lag Order Bootstrap Algorithm

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