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ArticleJoint confidence sets for structural impulse responses

Atsushi Inoue2016

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Articlegreen2016

Joint confidence sets for structural impulse responses

Atsushi Inoue · Lutz Kilian

49 citations·0/0 files stored·Journal of Econometrics

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Monetary Policy and Economic Impact Forecasting Techniques and Applications Diverse Scientific and Economic Studies

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References

2005INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY 2009Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market 1990Inference in Linear Time Series Models with some Unit Roots 1998Monetary Policy Shocks: What Have We Learned and to What End?2004Oil and the Macroeconomy Since the 1970s 1999Error Bands for Impulse Responses 1998Small-sample Confidence Intervals for Impulse Response Functions 2008A Comparison of the Effects of Exogenous Oil Supply Shocks on Output and Inflation in the G7 Countries

Cited by

2016Impulse response matching estimators for DSGE models 2019The uniform validity of impulse response inference in autoregressions 2022Forecasting macroeconomic effects of stablecoin adoption: A Bayesian approach 2022The Role of the Prior in Estimating VAR Models with Sign Restrictions 2018Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models: A Review

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2018Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models: A Reviewarticle · 8 shared references 2015Confidence Bands for Impulse Responses: Bonferroni vs. Waldarticle · 7 shared references 2015Inference in VARs with conditional heteroskedasticity of unknown formarticle · 6 shared references 2013Comparison of methods for constructing joint confidence bands for impulse response functionsarticle · 6 shared references 2019The uniform validity of impulse response inference in autoregressionsarticle · 6 shared references 2018Balanced Bootstrap Joint Confidence Bands for Structural Impulse Response Functionsarticle · 6 shared references

Details

Year2016

Typearticle

Published2016-02-11

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations49

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/j.jeconom.2016.02.008

openalex_workW1566289019

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2017

Calculating joint confidence bands for impulse response functions using highest density regions

2022Uniform Priors for Impulse Responses