Asymptotically Valid Bootstrap Inference for Proxy SVARs

DOI10.1080/07350015.2021.1990770zbMath1547.62774MaRDI QIDQ6621000

Carsten Jentsch, Unnamed Author

Publication date: 17 October 2024

Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

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• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Inference in VARs with conditional heteroskedasticity of unknown form
• Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
• Statistical inference in vector autoregressions with possibly integrated processes
• The jackknife and the bootstrap for general stationary observations
• The uniform validity of impulse response inference in autoregressions
• Inference in structural vector autoregressions identified with an external instrument
• One-Dimensional Inference in Autoregressive Models With the Potential Presence of a Unit Root
• Estimation and Inference With Weak, Semi-Strong, and Strong Identification
• Probabilistic Properties of Stochastic Volatility Models
• Making wald tests work for cointegrated VAR systems
• Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• The bootstrap and Edgeworth expansion

Related Items (1)

Heteroskedastic proxy vector autoregressions: an identification-robust test for time-varying impulse responses in the presence of multiple proxies

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